NAIRU NAIRU NAIRU
GDPGDP NAIRUNon- Accelerating Inflation Rate of Unemployment GDP GDP NAIRU Lown and RichFisher, Mahadeva and Whitley raw materials G NAIRUTurnerFai
WatanabeNAIRU Watanabe nested NAIRU Watanabe Watanabe NAIRU NAIRU NAIRURomer, C. NAIRU inertiawatanabe Romer, C.
Phillips Curve π t = π t e + α 1 (u t u ) + ε t π π e u u ε Okun s Law π t = π t e + α 1 GDPGAP t + ε t GDPGAP GDPGDP π e GDPGAPε Blanchard GDP GDP
e π t α 0 π t = α 0 + α 1 GDPGAP t + ε t α 0 e π t π t-1 π t = π t 1 + α 1 GDPGAP t + ε t π t π t 1 = α 1 GDPGAP t + ε t NAIRU NAIRU π t π t = π t 1 + e t e t Dσ π t e = E π t = π t 1
s π t = α 0 + β i π t i + α 1 GDPGAP t + ε t i=1 e π t α 0 π t 1 π t-2 π t-3 π t-4 NAIRU s β i = 1 i=1 β 1 NAIRUs GDPGAPα 1 NAIRU NAIRU s NAIRU β i < 1 GDPGAP i=1 π t e = α 0 + β i π t i s i=1 NAIRU
NAIRU Romer, D. VAT VAT HP
NAIRUWatanabe s 1 π t = α N 0 + β N i π t i + α N 1GDPGAP t 1 + γ N i IMPORT t i + ε N t i=1 i=0 πcpigdpgapgdpgdp IMPORT ε N t GDPGAP α 0 NAIRU = α 0 = 0 GDP GDPGAP α 0 = 0
β N i =GDPGAP NAIRU NAIRU β N i = H 0 H 1 F NAIRU FF = F NAIRU NAIRU GDPGAP GDPGAP GDPGAPGDPGAP GDPGAP GDPGAP VATVAT VAT NAIRU NAIRU GDPGAP GDPGAP
NAIRU NAIRU NAIRU β i = NAIRU
NAIRU NAIRU GDPGAPGDPGAP NAIRU NAIRU s 1 π t = α P 0 + α P 1i GDPGAP t i + γ P i IMPORT t i + ε P t i=1 i=0 ε P IMPORT
π t = α 0 + β 1 π t 1 + β 2 π t 2 + β 3 π t 3 + β 4 π t 4 + α 1 GDPGAP t 1 + ε t s β i 1 (<1) i=1 π t 1 = α 0 + β 1 π t 2 + β 2 π t 3 + β 3 π t 4 + β 4 π t 5 + α 1 GDPGAP t 2 + ε t 1 GDPGAP π e GDPGAPGDPGAP GDP NAIRU GDPGAP GDPGAP GDPGAP GDPGAP NAIRU GDPGAP GDPGAP GDPGAP β NAIRU
GDPGAP GDPGAP GDPGAP
NAIRU NAIRU NAIRU π e Sargent π e =
inertia inertia wage-setting Bruno and Sachs Bruno and Sachs corporatismnominal wage responsiveness high low medium Romer, D. Gordon The role of the lagged inflation terms is to capture the dynamics of inertia, whether related to expectation formation, contracts, delivery lags or anything else. NAIRU Bruno and Sachs
Bruno and Sachs concentration of expectation Bruno and Sachs high Bruno and Sachs NAIRU NAIRU NAIRU
NAIRU NAIRU NAIRU NAIRU Bruno and Sachs OECD U-shape OECD Bruno and Sachs VAT VAT
NAIRU NAIRU NAIRU
NAIRU NAIRU NAIRU NAIRU NAIRU = NAIRU HPNAIRU NAIRU
concentration of expectation NAIRU NAIRU
NAIRU NAIRU NAIRU NAIRU NAIRU NAIRU
NAIRU VECMVector Error Correction Model NAIRU = NAIRU
GDP GDP HP GDP HPMultivariate Filter GDP HaltimaierGiorno et al. GDPWatanabe HPGDP GDPWatanabe YKL Ht 1, 2 ln( Y t / L t ) = α 0 + α 1 ln( K t / L t H t ) + α 2 t 1 + α 3 t 2 TFPα 2 α 2 + α 3 GDP GDP GDPWatanabe
GDP HP g t c t { MIN T T [( ) ( ) g ] } c g g g g 2 2 T + t λ t t 1 t 1 t 2 t t = 1 t = 1 t = 1 g t GDP HP OECDGDP HPGDP GDP GDPGDPGDP HPHodrick and Prescott 1999
Spring Vector Error Correction Model Blanchard, O., Macroeconomics, Prentice Hall,1997. Bruno, M., and J. Sachs, Labor Markets and Comparative Macroeconomic Performance, in Economics of Worldwide Stagflation, Harvard University Press, Cambridge, Massachusetts, 1985. Fair, R. C., Testing the NAIRU Model for 27 Countries, downloaded from http:// fairmodel.econ. yale.edu/, 1997. Fisher, P. G.,, L. Mahadeva and J. D. Whitley, The Output Gap and Inflation Experience at the Bank of England, Monetary Policy And the Inflation Process, Conference Papers, Vol. 4, Bank for International Settlements, 1997. Giorno, C., P. Richardson, D. Roseveare and P. van den Noord, Potential Output, Output Gaps and Structural Budget Balances, OECD Economic Studies, No. 24, 1995. Gordon, R., The Time-Varying NAIRU and its Implications for Economic Policy, Journal of Economic Perspectives, Vol. 11, No. 1, Winter, 1997. Haltmaier, J., Inflation-Adjusted Potential Output, Board of Governors of the Federal Reserve System, International Finance Discussion Papers 561, 1996. Hodrick, R. and E., Prescott, Post-war U.S. Business Cycles: An Investigation, Working Paper, Carnegie-Mellon University, 1980. Lown, C. S., and R. W. Rich, Is There An Inflation Puzzle?, Research Paper No. 9723, Federal Reserve Bank of New York, 1997. OECD, Employment Outlook, OECD, June, 1997. Romer, C., Inflation and the Growth Rate of Output, NBER Working Paper Series, No. 5575, NBER, May, 1996. Romer, D., Advanced Macroeconomics, McGraw-Hill, 1996. Sargent, T., A Note on the Accelerationist Controversy, Journal of Money, Credit and Banking, August, 1971. Turner, D., Speed Limit And Asymmetric Inflation Effects from the Output Gap in the Major Seven Economies, OECD Economic Studies, No. 24, 1995.
Watanabe, T., Output Gap and Inflation: the case of Japan, Monetary Policy And the Inflation Process, Conference Papers, Vol. 4, Bank for International Settlements, 1997.