Journal of Economics and Finance

, Volume 28, Issue 2, pp 186–197 | Cite as

A time-varying volatility approach to modeling the phillips curve: A cross-country analysis

  • William L. Seyfried
  • Bradley T. Ewing


This research examines the Phillips curve price adjustment mechanism allowing for the conditional variance of inflation to be time varying. Specifically, we estimate ARCH and GARCH models of inflation for Canada, Japan, and the U.K. The results suggest that an increase in the conditional variability of inflation leads to higher levels of inflation. In addition, inclusion of inflation variability in the Phillips curve model results in a higher weight being attributed to the output gap than in traditional models. (JEF E24)


Inflation Rate GARCH Model Phillips Curve Ordinary Little Square Model Inflationary Expectation 
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Copyright information

© Springer 2004

Authors and Affiliations

  1. 1.Department of Accounting, Finance, and EconomicsWinthrop UniversityRock Hill
  2. 2.Area of Information Systems and Quantitative Science, Rawls College of BusinessTexas Tech UniversityLubbock

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