Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data
Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
Standard
Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship : An Application to Finnish Data. / Juselius, Katarina.
Essays in Nonlinear Time Series Econometrics. Oxford University Press, 2014.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - CHAP
T1 - Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship
T2 - An Application to Finnish Data
AU - Juselius, Katarina
PY - 2014
Y1 - 2014
N2 - Edmund Phelps (1994) introduced a modified Phillips curve where the natural rate of unemployment is a function of the real interest rate instead of a constant. Koo (2010) argues that the effect of the interest rate on the macro economy is likely to be diluted during a balance sheet recession such as those recently seen in many countries. In the late 1980s, after having deregulated credit and capital movements, Finland experienced a housing boom which subsequently developed into a serious economic crisis similar to the recent ones. To learn from the Finnish experience we estimate the Phelps modified Phillips curve and use a Smooth Transition (STR) model to distinguish between ordinary periods and balance sheet recessions.
AB - Edmund Phelps (1994) introduced a modified Phillips curve where the natural rate of unemployment is a function of the real interest rate instead of a constant. Koo (2010) argues that the effect of the interest rate on the macro economy is likely to be diluted during a balance sheet recession such as those recently seen in many countries. In the late 1980s, after having deregulated credit and capital movements, Finland experienced a housing boom which subsequently developed into a serious economic crisis similar to the recent ones. To learn from the Finnish experience we estimate the Phelps modified Phillips curve and use a Smooth Transition (STR) model to distinguish between ordinary periods and balance sheet recessions.
KW - Faculty of Social Sciences
KW - smooth transition model
KW - cointegration
KW - Phillips curve
KW - financial crisis
U2 - 10.1093/acprof:oso/9780199679959.003.0005
DO - 10.1093/acprof:oso/9780199679959.003.0005
M3 - Book chapter
SN - 9780199679959
BT - Essays in Nonlinear Time Series Econometrics
PB - Oxford University Press
ER -
ID: 200963531