The Phillips Curve in the United States and Canada: A GARCHDCC Analysis

Authors

  • Lu Yang Kobe University
  • Shigeyuki Hamori Kobe University

DOI:

https://doi.org/10.6000/1929-7092.2014.03.01

Keywords:

GARCH-DCC model, Phillips curve, financial crisis

Abstract

By applying the GARCH-DCC model, we reexamine the Phillips curve based on a time-varying correlation analysis for Canada and the United States from January 1985 to December 2012. The empirical results show that the sign of the correlation between the inflation rate and the unemployment rate is negative during recession periods but positive during boom periods.

Author Biographies

Lu Yang, Kobe University

Graduate School of Economics

Shigeyuki Hamori, Kobe University

Faculty of Economics

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Published

2014-02-04

Issue

Section

Articles