Hidden Bibliographic Details
| Other authors / contributors: | Sanjani, Marzie Taheri, author, (IMF staff)
International Monetary Fund, publisher.
International Monetary Fund. Strategy, Policy, and Review Department, issuing body.
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| ISBN: | 9781498348645
1498348645
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| Notes: | "July 2016."
At head of title: International Monetary Fund, Strategy, Policy and Reviews Department.
Includes bibliographical references (pages 19-22).
Description based on online resource; title from pdf title page (IMF.org Web site, viewed September 9, 2016).
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| Summary: | Inflation dynamics, as well as its interaction with unemployment, have been puzzling since the Global Financial Crisis (GFC). In this empirical paper, we use multivariate, possibly time-varying, time-series models and show that changes in shocks are a more salient feature of the data than changes in coefficients. Hence, the GFC did not break the Phillips curve. By estimating variations of a regime-switching model, we show that allowing for regime switching solely in coefficients of the policy rule would maximize the fit. Additionally, using a data-rich reduced-form model we compute conditional forecast scenarios. We show that financial and external variables have the highest forecasting power for inflation and unemployment, post-GFC.
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