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Sakin Dönem ve Durgunluk Dönemi Phillips Eğrisi Tahmini: Panel Analizinden Kanıtlar

Year 2019, , 23 - 41, 28.06.2019
https://doi.org/10.26650/ISTJECON2019-0016

Abstract

Resesyon dönemlerinde Phillips Eğrisi analizini kapsayan ampirik literatür oldukça azdır. Büyük Durgunluk Phillips Eğrisi’nin geçerliliği ve istikrarı üzerine halen devam etmekte olan bir tartışmayı yeniden alevlendirmiştir. Bu tartışmanın temeli ise, gerçek iktisadi faaliyetlerin keskin bir şekilde düşerken enflasyonda bir düşüşün olmamasının gözlemlenmesidir. Bu makale, sakin ve durgunluk dönemlerini ayırarak 1980’den 2016 yılına kadar 41 ülke üzerinde, beklentilerle genişletilmiş klasik Phillips Eğrisi modeli için ampirik çalışma yürütmektedir. Araştırmanın sonuçlarına dayanarak, bu makale, Phillips Eğrisi dinamiğinin durgunluk dönemlerinde değiştiğini ve ampirik ilişkinin artık geçerli olmadığını ortaya koymaktadır. Bu sonuçlar, gözlemlenemeyen enflasyon düşüşü ve Phillips eğrisinin çöküşü konusundaki süregelen tartışmaları sadece durgunluk dönemleri için desteklemektedir. Sakin iktisadi dönemlerdeki durumda ise, bu ampirik ilişkinin hala geçerli olduğu görülmektedir. Ayrıca, bu makale hem geriye dönük hem de ileriye dönük enflasyon bileşeninin durgunluk dönemlerinde ağırlık ve önem kazandığını da gözlemlemektedir. Bununla birlikte, panel modeli enflasyonun bu iki bileşenini aynı anda tek bir melez çerçeveye dâhil etmediği için bu araştırma hangi bileşenin daha fazla ağırlık ve önem kazandığı konusunda kesin bir sonuç verememektedir.


References

  • Akerlof, G. A. (2007). The Missing Motivation in Macroeconomics. American Economic Review, 97(1), 3-36.
  • Ball, L., & Mazumder, S. (2011). Inflation dynamics and the Great Recession. Brookings Papers on Economic Activity, 42(1), 337–405.
  • Ball, L., & Mazumder, S. (2019). A Phillips Curve with Anchored Expectations and Short-Term Unemployment. Journal of Money, Credit and Banking, 51(1), 111-137. Retrieved from: http:// dx.doi.org/10.1111/jmcb.12502
  • Bell, A., & Jones, K. (2015). Explaining Fixed Effects: Random Effects Modeling of Time-Series CrossSectional and Panel Data. Political Science Research and Methods, 3(1), 133–153. Retrieved from: http://dx.doi.org/10.1017/psrm.2014.7
  • Blanchard, O. (2016). The Phillips Curve: Back to the ‘60s?. American Economic Review, 106(5), 31– 34. Retrieved from: http://dx.doi.org/10.1257/aer.p20161003
  • Bondell, H. D., Krishna, A., & Ghosh, S. K. (2011). Joint Variable Selection for Fixed and Random Effects in Linear Mixed-Effects Models. Biometrics, 66(4), 1069–1077.
  • Bulligan, G., & Viviano, E. (2017). Has the wage Phillips curve changed in the euro area? IZA Journal of Labor Policy, 6(9), 1–22. Retrieved from: http://dx.doi.org/10.1186/s40173-017-0087-z
  • Clark, T. S., & Linzer, D. A. (2015). Should I Use Fixed or Random Effects? Political Science Research and Methods, 3(2), 399–408. Retrieved from: http://dx.doi.org/10.1017/psrm.2014.32
  • Coibion, O., & Gorodnichenko, Y. (2015). Is the Phillips Curve Alive and Well after All? Inflation Expectations and the Missing Disinflation. American Economic Journal: Macroeconomics, 7(1), 197–232.
  • Conti, A. M., & Gigante, C. (2018). Weakness in Italy’s core inflation and the Phillips curve: The role of labour and financial indicators. Bank of Italy Occasional Papers, No 466.
  • Del Negro, M., Giannoni, M. P., & Schorfheide, F. (2015). Inflation in the Great Recession and New Keynesian Models. American Economic Journal: Macroeconomics, 7(1), 168–196. Retrieved from: http://dx.doi.org/10.1257/mac.20140097
  • Fendel, R., Lis, E. M., & Rulke, J. C. (2011). Do Professional Forecasters Believe in the Phillips Curve? Evidence from the G7 Countries. Journal of Forecasting, 30(2), 268–287. Retrieved from: https:// doi.org/10.1002/for.1172
  • Friedman, M. (1968). The Role of Monetary Policy. American Economic Review, 58(1), 1–17.
  • Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251–1271.
  • International Monetary Fund (IMF). (2013). The Dog That Didn’t Bark: Has Inflation Been Muzzled or Was It Just Sleeping? In World Economic Outlook, 79–96.
  • Washington, D.C., April. Kiley, M. T. (2015). Low Inflation in the United States: A Summary of Recent Research. FEDS Notes. Retrieved from: http://dx.doi.org/10.17016/2380-7172.1665
  • Kinney, S. K., & Dunson, D. B. (2007). Fixed and Random Effects Selections in Linear and Logistic Models. Biometrics, 63(3), 690–698.
  • Krugman, P. (2015, December 4). Anchors away (Slightly Wonkish). The New York Times. Retrieved from: http://krugman.blogs.nytimes.com/2015/12/04/anchors-away-slightly-wonkish/
  • Lucas, R. (1976). Econometric Policy Evaluation: A Critique. In K. Brunner & A. Meltzer (Eds.), The Phillips Curve and Labor Markets (pp. 19-46). Carnegie-Rochester Conference Series on Public Policy 1. New York: American Elsevier.
  • Mazumder, S. (2018). Inflation in Europe after the Great Recession. Economic Modelling, 71, 202– 213. Retrieved from: http://doi.org/10.1016/j.econmod.2017.12.014
  • Murphy, A. (2018). The Death of the Phillips Curve? Federal Reserve Bank of Dallas, Working Paper 1801. Retrieved from: http://dx.doi.org/10.24149/wp1801
  • Ojapinwa, T. V., & Esan, F. (2013). Does Philips Relations Really Exist in Nigeria? Empirical Evidence. International Journal of Economics and Finance, 5(9), 123–133.
  • Park, H. M. (2009). Linear Regression Models for Panel Data Using SAS, Stata, LIMDEP, and SPSS. In Linear Regression Models for Panel Data 1. Indiana: The Trustees of Indiana University.
  • Paul, B. P. (2009). In search of the Phillips curve for India. Journal of Asian Economics, 20(4), 479–488.
  • Phelps, E. (1967). Phillips Curves, Expectations of Inflation and Optimal Unemployment over Time. Economica, 34(135), 254–281.
  • Phillips, A. W. (1958). The Relationship between Unemployment and the Rate of Change of Money Wage in the United Kingdom 1861-1957. Economica, 25(100), 283–299.
  • Ravn, M. O., & Uhlig, H. (2002). Notes on Adjusting the Hodrick-Prescott Filter for the Frequency of Observations. The Review of Economics and Statistics, 84(2), 371–380.
  • Rulke, J. C. (2012). Do Professional Forecasters Apply the Phillips Curve and Okun’s Law? Evidence from Six Asian-Pacific Countries. Japan and the World Economy, 24(4), 317–324.
  • Russel, B., & Banerjee, A. (2008). The Long-run Phillips Curve and Non-stationary Inflation. Journal of Macroeconomics, 30(4), 1792–1815.
  • Samuelson, P. A., & Solow, R. M. (1960). Analytical Aspects of Anti-inflation Policy. American Economic Review, 50(2), 177–194.
  • Sovbetov, Y., & Kaplan, M. (2019a). Empirical Examination of the Stability of ExpectationsAugmented Phillips Curve for Developing and Developed countries. Theoretical and Applied Economics, 26(2/619), 63–78.
  • Sovbetov, Y., & Kaplan, M. (2019b). Causes of Failure of the Phillips Curve: Does tranquility of economic environment matters? The European Journal of Applied Economics, (forthcoming).
  • Stock, J. (2011). Discussion of Ball and Mazumder, “Inflation Dynamics and the Great Recession”. Brookings Papers on Economic Activity, 42, 387–402.
  • Swamy, P. A. V. B, & Arora, S. S. (1972). The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models. Econometrica, 40(2), 261–275.
  • Van Zandweghe, W. (2019). The Phillips Curve and the Missing Disinflation from the Great Recession. Economic Review, (forthcoming).
  • Watson, M. W. (2014). Inflation Persistence, the NAIRU, and the Great Recession. American Economic Review, 104(5), 31–36. Retrieved from: https://doi.org/10.1257/aer.104.5.31
  • Yellen, J. L. (2015). Inflation dynamics and monetary policy: A speech at the Philip Gamble Memorial Lecture. University of Massachusetts, Amherst, Massachusetts. Speech 863, Board of Governors of the Federal Reserve System (U.S.).

Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis

Year 2019, , 23 - 41, 28.06.2019
https://doi.org/10.26650/ISTJECON2019-0016

Abstract

The empirical literature that covers Phillips Curve analysis during recessionary periods is notably scant. The Great Recession has rekindled a debate on the validity and stability of the Phillips Curve which is still ongoing. The basis for this debate is the observation that real activity dropped sharply without causing a drop in inflation. This paper carries out an empirical analysis for the classical expectation-augmented Phillips curve model across 41 countries from1980-2016 by distinguishing tranquil and recessionary periods separately. Based on the results of the research, the paper finds that dynamics of Phillips Curve changes during recessionary periods and the empirical relationship becomes no longer valid. These findings support the ongoing debate about the missing disinflation and collapse of the Phillips curve, but only during the recessionary periods. In the case of tranquil periods, the empirical relationship still seems to be valid. Moreover, the paper also observes that both backward-looking and forward-looking fractions of inflation gain weight and significance during recessionary periods. However, the paper remains indecisive about which exact fraction gains more weight and significance as the panel model does not incorporate these two fractions of inflation in a single hybrid framework simultaneously.

References

  • Akerlof, G. A. (2007). The Missing Motivation in Macroeconomics. American Economic Review, 97(1), 3-36.
  • Ball, L., & Mazumder, S. (2011). Inflation dynamics and the Great Recession. Brookings Papers on Economic Activity, 42(1), 337–405.
  • Ball, L., & Mazumder, S. (2019). A Phillips Curve with Anchored Expectations and Short-Term Unemployment. Journal of Money, Credit and Banking, 51(1), 111-137. Retrieved from: http:// dx.doi.org/10.1111/jmcb.12502
  • Bell, A., & Jones, K. (2015). Explaining Fixed Effects: Random Effects Modeling of Time-Series CrossSectional and Panel Data. Political Science Research and Methods, 3(1), 133–153. Retrieved from: http://dx.doi.org/10.1017/psrm.2014.7
  • Blanchard, O. (2016). The Phillips Curve: Back to the ‘60s?. American Economic Review, 106(5), 31– 34. Retrieved from: http://dx.doi.org/10.1257/aer.p20161003
  • Bondell, H. D., Krishna, A., & Ghosh, S. K. (2011). Joint Variable Selection for Fixed and Random Effects in Linear Mixed-Effects Models. Biometrics, 66(4), 1069–1077.
  • Bulligan, G., & Viviano, E. (2017). Has the wage Phillips curve changed in the euro area? IZA Journal of Labor Policy, 6(9), 1–22. Retrieved from: http://dx.doi.org/10.1186/s40173-017-0087-z
  • Clark, T. S., & Linzer, D. A. (2015). Should I Use Fixed or Random Effects? Political Science Research and Methods, 3(2), 399–408. Retrieved from: http://dx.doi.org/10.1017/psrm.2014.32
  • Coibion, O., & Gorodnichenko, Y. (2015). Is the Phillips Curve Alive and Well after All? Inflation Expectations and the Missing Disinflation. American Economic Journal: Macroeconomics, 7(1), 197–232.
  • Conti, A. M., & Gigante, C. (2018). Weakness in Italy’s core inflation and the Phillips curve: The role of labour and financial indicators. Bank of Italy Occasional Papers, No 466.
  • Del Negro, M., Giannoni, M. P., & Schorfheide, F. (2015). Inflation in the Great Recession and New Keynesian Models. American Economic Journal: Macroeconomics, 7(1), 168–196. Retrieved from: http://dx.doi.org/10.1257/mac.20140097
  • Fendel, R., Lis, E. M., & Rulke, J. C. (2011). Do Professional Forecasters Believe in the Phillips Curve? Evidence from the G7 Countries. Journal of Forecasting, 30(2), 268–287. Retrieved from: https:// doi.org/10.1002/for.1172
  • Friedman, M. (1968). The Role of Monetary Policy. American Economic Review, 58(1), 1–17.
  • Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251–1271.
  • International Monetary Fund (IMF). (2013). The Dog That Didn’t Bark: Has Inflation Been Muzzled or Was It Just Sleeping? In World Economic Outlook, 79–96.
  • Washington, D.C., April. Kiley, M. T. (2015). Low Inflation in the United States: A Summary of Recent Research. FEDS Notes. Retrieved from: http://dx.doi.org/10.17016/2380-7172.1665
  • Kinney, S. K., & Dunson, D. B. (2007). Fixed and Random Effects Selections in Linear and Logistic Models. Biometrics, 63(3), 690–698.
  • Krugman, P. (2015, December 4). Anchors away (Slightly Wonkish). The New York Times. Retrieved from: http://krugman.blogs.nytimes.com/2015/12/04/anchors-away-slightly-wonkish/
  • Lucas, R. (1976). Econometric Policy Evaluation: A Critique. In K. Brunner & A. Meltzer (Eds.), The Phillips Curve and Labor Markets (pp. 19-46). Carnegie-Rochester Conference Series on Public Policy 1. New York: American Elsevier.
  • Mazumder, S. (2018). Inflation in Europe after the Great Recession. Economic Modelling, 71, 202– 213. Retrieved from: http://doi.org/10.1016/j.econmod.2017.12.014
  • Murphy, A. (2018). The Death of the Phillips Curve? Federal Reserve Bank of Dallas, Working Paper 1801. Retrieved from: http://dx.doi.org/10.24149/wp1801
  • Ojapinwa, T. V., & Esan, F. (2013). Does Philips Relations Really Exist in Nigeria? Empirical Evidence. International Journal of Economics and Finance, 5(9), 123–133.
  • Park, H. M. (2009). Linear Regression Models for Panel Data Using SAS, Stata, LIMDEP, and SPSS. In Linear Regression Models for Panel Data 1. Indiana: The Trustees of Indiana University.
  • Paul, B. P. (2009). In search of the Phillips curve for India. Journal of Asian Economics, 20(4), 479–488.
  • Phelps, E. (1967). Phillips Curves, Expectations of Inflation and Optimal Unemployment over Time. Economica, 34(135), 254–281.
  • Phillips, A. W. (1958). The Relationship between Unemployment and the Rate of Change of Money Wage in the United Kingdom 1861-1957. Economica, 25(100), 283–299.
  • Ravn, M. O., & Uhlig, H. (2002). Notes on Adjusting the Hodrick-Prescott Filter for the Frequency of Observations. The Review of Economics and Statistics, 84(2), 371–380.
  • Rulke, J. C. (2012). Do Professional Forecasters Apply the Phillips Curve and Okun’s Law? Evidence from Six Asian-Pacific Countries. Japan and the World Economy, 24(4), 317–324.
  • Russel, B., & Banerjee, A. (2008). The Long-run Phillips Curve and Non-stationary Inflation. Journal of Macroeconomics, 30(4), 1792–1815.
  • Samuelson, P. A., & Solow, R. M. (1960). Analytical Aspects of Anti-inflation Policy. American Economic Review, 50(2), 177–194.
  • Sovbetov, Y., & Kaplan, M. (2019a). Empirical Examination of the Stability of ExpectationsAugmented Phillips Curve for Developing and Developed countries. Theoretical and Applied Economics, 26(2/619), 63–78.
  • Sovbetov, Y., & Kaplan, M. (2019b). Causes of Failure of the Phillips Curve: Does tranquility of economic environment matters? The European Journal of Applied Economics, (forthcoming).
  • Stock, J. (2011). Discussion of Ball and Mazumder, “Inflation Dynamics and the Great Recession”. Brookings Papers on Economic Activity, 42, 387–402.
  • Swamy, P. A. V. B, & Arora, S. S. (1972). The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models. Econometrica, 40(2), 261–275.
  • Van Zandweghe, W. (2019). The Phillips Curve and the Missing Disinflation from the Great Recession. Economic Review, (forthcoming).
  • Watson, M. W. (2014). Inflation Persistence, the NAIRU, and the Great Recession. American Economic Review, 104(5), 31–36. Retrieved from: https://doi.org/10.1257/aer.104.5.31
  • Yellen, J. L. (2015). Inflation dynamics and monetary policy: A speech at the Philip Gamble Memorial Lecture. University of Massachusetts, Amherst, Massachusetts. Speech 863, Board of Governors of the Federal Reserve System (U.S.).
There are 37 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Research Article
Authors

Yhlas Sovbetov

Publication Date June 28, 2019
Submission Date May 31, 2019
Published in Issue Year 2019

Cite

APA Sovbetov, Y. (2019). Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis. İstanbul İktisat Dergisi, 69(1), 23-41. https://doi.org/10.26650/ISTJECON2019-0016
AMA Sovbetov Y. Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis. İstanbul İktisat Dergisi. June 2019;69(1):23-41. doi:10.26650/ISTJECON2019-0016
Chicago Sovbetov, Yhlas. “Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis”. İstanbul İktisat Dergisi 69, no. 1 (June 2019): 23-41. https://doi.org/10.26650/ISTJECON2019-0016.
EndNote Sovbetov Y (June 1, 2019) Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis. İstanbul İktisat Dergisi 69 1 23–41.
IEEE Y. Sovbetov, “Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis”, İstanbul İktisat Dergisi, vol. 69, no. 1, pp. 23–41, 2019, doi: 10.26650/ISTJECON2019-0016.
ISNAD Sovbetov, Yhlas. “Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis”. İstanbul İktisat Dergisi 69/1 (June 2019), 23-41. https://doi.org/10.26650/ISTJECON2019-0016.
JAMA Sovbetov Y. Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis. İstanbul İktisat Dergisi. 2019;69:23–41.
MLA Sovbetov, Yhlas. “Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis”. İstanbul İktisat Dergisi, vol. 69, no. 1, 2019, pp. 23-41, doi:10.26650/ISTJECON2019-0016.
Vancouver Sovbetov Y. Phillips Curve Estimation During Tranquil and Recessionary Periods: Evidence From Panel Analysis. İstanbul İktisat Dergisi. 2019;69(1):23-41.