A time-varying volatility approach to modeling the Phillips curve: A cross-country analysis

William L. Seyfried, Bradley T. Ewing

Research output: Contribution to journalArticlepeer-review

Abstract

This research examines the Phillips curve price adjustment mechanism allowing for the conditional variance of inflation to be time varying. Specifically, we estimate ARCH and GARCH models of inflation for Canada, Japan, and the U.K. The results suggest that an increase in the conditional variability of inflation leads to higher levels of inflation. In addition, inclusion of inflation variability in the Phillips curve model results in a higher weight being attributed to the output gap than in traditional models.

Original languageEnglish
Pages (from-to)186-197
Number of pages12
JournalJournal of Economics and Finance
Volume28
Issue number2
DOIs
StatePublished - 2004

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