Is the Phillips curve disappearing? Evidence from a new test procedure

ABSTRACT

This paper proposes a four-step procedure to examine a disappearance of the Phillips curve. The procedure involves estimating an initial value, computing a potential output using the state–space model, calculating a static slope coefficient of the Phillips curve and estimating a time-varying slope coefficient. This analytical sequence was employed to examine data from ASEAN countries. The findings indicated a trend of a disappearing Phillips curve in the region.

KEYWORDS:

• Phillips curve
• rolling window method
• state–space model
• asean

JEL CLASSIFICATION:

• E31
• E24

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ Brunei, Cambodia, Lao, Myanmar and Vietnam were not included in the analysis due to a lack of data.

² For a more detailed derivation, see Roberts (1995), Kozicki and Tinsley (2002), Hwang and Kim (2012) and Dupuis (2004).

Additional information

Funding

This work was supported by the Tun Ismail Ali Chair (TIAC) [TIACRG2018.23]. The data and EViews codes are available at https://sites.google.com/site/fumitakafuruokawebpage2/home/paper-18.