## Did the Global Financial Crisis Break the U.S. Phillips Curve?

_IMF Working Papers, July 5, 2016_

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## Bibliographic details
- Authors: Stefan Laseen, Marzie Taheri Sanjani
- Published: July 5, 2016
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781498348645.001

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### Summary and main finding
- 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.

### Methods and model features
- 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 and keywords
- 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

*IMF Working Paper — Did the Global Financial Crisis Break the U.S. Phillips Curve? (Stefan Laseen, Marzie Taheri Sanjani; July 5, 2016).*

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/did-the-global-financial-crisis-break-the-u-s-44049_