The phillips curve in Italy
DOI:
https://doi.org/10.5902/1414650915341Palavras-chave:
Wage Inflation, Phillips Curve, CointegrationResumo
The estimation of the Phillips curve in Italy, using the wage inflation rate as a dependent variable, based on annual data from the period 1961-2012, using the Johansen Method, allows us to conclude two things. Firstly, in the long term, there are two long-term relationships: the wage inflation rate relates positively to the inflation rate, negatively to the unemployment rate and positively to the average labour productivity growth index, as was expected; the inflation rate relates positively to the wage inflation rate, negatively to the unemployment rate and positively to the average labour productivity growth index, as was expected. Secondly, in the short term, the variation of the wage inflation rate relates positively and significantly to the error correction mechanism of the first long-term relationship; therefore, there is a significant response to the equilibrium error between the wage inflation rate and its determinants (inflation rate, unemployment rate, labour productivity growth index). Besides this adjustment, the variation of wage inflation rate responds significantly and negatively to the variation in unemployment rate and significantly and positively to the average labour productivity growth.Downloads
Referências
BALL, L.; MANKIW, N. G. ; ROMER, D. The New Keynesian Economics and the OutputInflation Trade-off. Brookings Papers on economic Activity, 1, pp. 1-82, 1998.
CAMPBELL, J. Y.; PERRON, P. Pitfalls and Opportunities: What Macroeconomics Should Know about Unit Roots. NBER Macroeconomics Annual, pp. 141-201, 1991
CHOW, Gregory C. Tests of Equality Between Sets Coefficients in Two Linear Regressions. Econometrica, v. 28, n.3, pp.591-605, 1960.
DICKEY, D. A.; PANTULA, S. G. Determining the Order Differencing in Autoregressive Processes. Journal of Business and Economic Statistics, v. 5, n.4, pp. 455-461, 1987
FRIEDMAN, M. The Role of Monetary Policy. American Economic Review, v. 58, n.1, pp.1-17, 1968.
FRIEDMAN, M. Nobel Lecture: Inflation and Unemployment. Journal of Political Economy, v. 85, n. 3, pp. 451-472, 1997.
GALÍ, J.; GERTLER, M. Inflation Dynamics: A Strutural Econometric Analysis. Journal of Monetary Economics, v. 44, pp. 195-222, 1999.
HANSEN, H.; JUSELIUS, K. CATS in RATS: Cointegration Analysis of Time Series, Estima, Evanston, Illinois, 1995.
HORNSTEIN, A. Introduction to the New Keynesian Phillips Curve. Economic Quarterly, v. 94, n. 4, pp. 301–309, 2008.
JOHANSEN, S. Likelihood-Based Inference in Cointegration Vector Autoregressive Models. Oxford: Oxford University Press, 1996.
KOUSTAS, Z.; SERLETIS, A. Long-run Phillips-type Trade-offs in European Union Countries. Economic Modelling, v. 20, pp. 679-701, 2003.
LIPSEY, R. G. The Relation between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1862-1957: A Further Analysis. Economica, v. 27 n.105, pp. 1-31, 1960.
LUCAS, R. E., Jr. Some International Evidence on Output-Inflation Tradeoffs. American Economic Review, v. 63, n. 3, pp. 326-34, 1973.
LUCAS, R. E., Jr. Econometric Policy Evaluation: A Critique. Carnegie-Rochester Conference Series on Public Policy, v.1, pp.19–46, 1976.
MAZUMDER, S. The Volcker–Greenspan–Bernanke Phillips Curve. Applied Economics Letters, v. 19, pp. 387–391, 2012.
NASON, J. M.; and SMITH, G. W. The New Keynesian Phillips Curve: Lessons From Single-Equation Econometric Estimation. Economic Quarterly, v. 94, n. 4, pp. 361–395, 2008.
PERRON, P.; VOGELSANG, T. J. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity. Journal fo Business and Economic Statistics, v. 10, n. 3, pp. 301-320, 1992.
PERRON, P. Further Evidence on Breaking Trend Functions in Macroeconomic Variables. Journal of Econometrics, v. 80, n. 2, pp. 355-385, 1997.
PESARAN, M. H.; SHIN, Y.; SMITH, R. J. Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables. Journal of Econometrics, v. 97, n. 2, pp. 293- 343, 2000.
PHELPS, E. S. Phillips Curves, Expectations of Inflation and Optimal Unemployment Over Time. Economica, v. 34, pp. 254-81, 1967.
PHILLIPS, A. W. The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861 – 1957. Economica, v. 25, n. 100, pp. 283-299, 1958.
RAHBEK, A.; MOSCONI, R. Cointegration Rank Inference with Stationary Regressors in VAR Models. Econometrics Journal, v. 2, pp. 76-91, 1999.
ROBERTS, J. M. New-Keynesian Economics and the Phillips Curve. Journal of Money, credit and Banking v. 27, n. 4, pp. 975-984, 1995
RUSSEL, B.; CHOWDHURY, R. A. Estimating United States Phillips curves with expectations consistent with the statistical process of inflation. Journal of Macroeconomics, v. 35, pp. 24–38, 2013.
SAMUELSON, P.; SOLOW, R. Problem of Achieving and Maintaining a Stable Price Level: Analytical Aspects of Anti-Inflation Policy. American Economic Review, v. 50, n. 2, pp. 177-194, 1960.
SCHREIBER, S.; WOLTERS, J. The long-run Phillips curve revisited: Is the NAIRU framework data consistent?. Journal of Macroeconomics, v. 29, pp. 355–367, 2007.
