Contracting models of the Phillips curve empirical estimates for middle-income countries

Pierre Richard Agénor, Nihal Bayraktar

Research output: Contribution to journalArticle

8 Scopus citations

Abstract

This paper provides empirical estimates of contracting models of the Phillips curve for eight middle-income developing countries (Chile, Colombia, Korea, Malaysia, Mexico, Morocco, Tunisia, and Turkey). Following an analytical review, a variety of models with one and more leads and lags are estimated using two-step GMM techniques. Nested and non-nested tests are used to select a specification for each country, and in-sample predictive capacity and stability are analyzed. Higher-dimension models tend to perform better than parsimonious models with one lead and one lag. Except for Colombia and Korea, backward-looking behavior has a relatively larger impact on inflation dynamics. World oil prices and relative input prices have a limited effect, whereas borrowing costs are significant for Korea and Mexico.

Original languageEnglish (US)
Pages (from-to)555-570
Number of pages16
JournalJournal of Macroeconomics
Volume32
Issue number2
DOIs
StatePublished - Jun 1 2010

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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