Do professional forecasters behave as if they believed in the New Keynesian Phillips Curve for the euro area?

详细信息    查看全文

• 作者：Víctor López-Pérez
• 关键词：New Keynesian Phillips Curve ; Inflation ; Unemployment ; Panel data ; Survey of Professional Forecasters ; Downward wage rigidities
• 刊名：Empirica
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：44
• 期：1
• 页码：147-174
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：European Integration; International Economics; Macroeconomics/Monetary Economics//Financial Economics; Econometrics; Industrial Organization; Public Finance;
• 出版者：Springer US
• ISSN：1573-6911
• 卷排序：44

文摘

This paper finds that participants in the European Central Bank’s Survey of Professional Forecasters have submitted forecasts that are consistent with a (mostly forward-looking) empirical version of the New Keynesian Phillips Curve for the euro area. The estimation technique takes advantage of the panel nature of the Survey of Professional Forecasters’ dataset to exploit both its time series and cross-section dimensions, and to control for unobservable individual heterogeneity across forecasters. The estimation results suggest that euro-area inflation forecasts have reacted less to unemployment forecasts after the start of the financial crisis but another cost measure (energy inflation) remains significant. This finding is consistent with a flatter Phillips Curve in the euro area after 2007. However, the reasons suggested by the International Monetary Fund for this finding, namely a better anchoring of inflation expectations and increases in structural unemployment do not seem to find support in the survey data. Instead, the expectations for compensation per employee submitted by professional forecasters are consistent with the existence of downward real-wage rigidities in euro-area labour markets.