{
  "title": "Did the Global Financial Crisis Break the U.S. Phillips Curve?",
  "publication": "IMF Working Papers, July 5, 2016",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/did-the-global-financial-crisis-break-the-u-s-44049",
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  "summary": "Inflation dynamics, as well as its interaction with unemployment, have been puzzling since the Global Financial Crisis (GFC).",
  "sections": [
    {
      "heading": "Summary and main finding",
      "content": "- Inflation dynamics and their interaction with unemployment have been puzzling since the Global Financial Crisis (GFC).\n- Using multivariate, possibly time-varying, time-series models, the paper shows that changes in shocks are a more salient feature of the data than changes in coefficients.\n- Hence, the GFC did not break the Phillips curve.\n- Estimating variations of a regime-switching model indicates that allowing for regime switching solely in coefficients of the policy rule would maximize the fit.\n- Using a data-rich reduced-form model to compute conditional forecast scenarios, financial and external variables have the highest forecasting power for inflation and unemployment, post-GFC."
    },
    {
      "heading": "Methods and model features",
      "content": "- Multivariate, possibly time-varying, time-series models.\n- Variations of a regime-switching model, including coefficient switching in the policy rule.\n- Data-rich reduced-form model used for conditional forecast scenarios.\n- Bayesian Estimation is listed among keywords indicating the estimation approach used."
    },
    {
      "heading": "Subjects and keywords",
      "content": "- Subjects: Financial crises, Global financial crisis of 2008-2009, Inflation, Labor, Prices, Production, Total factor productivity, Unemployment, Unemployment rate\n- Keywords: Bayesian Estimation; coefficient switching; Conditional Forecast; Financial Frictions; Global; Global financial crisis of 2008-2009; Inflation; inflation dynamics; inflation equation; inflation expectation; inflation gap; inflation goal; inflation process; inflation response; inflation-unemployment dynamics; PCE inflation; Phillips curve; Regime Switching; shock variance; Total factor productivity; Unemployment; Unemployment rate; univariate Phillips curve equation; WP\n\nIMF Working Paper — Did the Global Financial Crisis Break the U.S. Phillips Curve? (Stefan Laseen, Marzie Taheri Sanjani; July 5, 2016).\n\n---\n\n Content in this bundle\n\n- wp16126\n  - wp16126 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp16126 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/did-the-global-financial-crisis-break-the-u-s-44049"
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    "Authors: Stefan Laseen, Marzie Taheri Sanjani",
    "Published: July 5, 2016",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781498348645.001",
    "Inflation dynamics and their interaction with unemployment have been puzzling since the Global Financial Crisis (GFC).",
    "Using multivariate, possibly time-varying, time-series models, the paper shows 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.",
    "Estimating variations of a regime-switching model indicates that allowing for regime switching solely in coefficients of the policy rule would maximize the fit.",
    "Using a data-rich reduced-form model to compute conditional forecast scenarios, financial and external variables have the highest forecasting power for inflation and unemployment, post-GFC.",
    "Multivariate, possibly time-varying, time-series models.",
    "Variations of a regime-switching model, including coefficient switching in the policy rule.",
    "Data-rich reduced-form model used for conditional forecast scenarios.",
    "Bayesian Estimation is listed among keywords indicating the estimation approach used.",
    "Subjects: Financial crises, Global financial crisis of 2008-2009, Inflation, Labor, Prices, Production, Total factor productivity, Unemployment, Unemployment rate",
    "Keywords: Bayesian Estimation; coefficient switching; Conditional Forecast; Financial Frictions; Global; Global financial crisis of 2008-2009; Inflation; inflation dynamics; inflation equation; inflation expectation; inflation gap; inflation goal; inflation process; inflation response; inflation-unemployment dynamics; PCE inflation; Phillips curve; Regime Switching; shock variance; Total factor productivity; Unemployment; Unemployment rate; univariate Phillips curve equation; WP",
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