Analysis of Phillips curve during tranquil and recessionary periods

Published: 14-06-2019| Version 1 | DOI: 10.17632/8v2mpt7dtp.1
Yhlas Sovbetov


It contains data set for the analysis of Phillips curve during tranquil and recessionary periods


Steps to reproduce

1) Import data for unemployment and inflation into E-views software 2) cpi is current inflation; u is current unemployment; ei is current expectations for future term inflation. Crisis dummy is a dummy variable that gets 1 during recession periods, and zero during tranquil periods. 3) Build two classical Phillips curve equations (backward-looking and forward-looking) separately and integrate crisis dummy in inflation variable as below. backward-looking => cpi(t) = C0*cpi(t-1) + C1*u(t) + C3*Dummy*cpi(t-1) + C4*Dummy*u(t) + error term forward-looking => cpi(t) = C0*ei(t) + C1*u(t) + C3*Dummy*ei(t) + C4*Dummy*u(t) + error term 4) Set HAC standard errors & covariance (Bartlett kernel, Newey-West fixed bandwidth = 5.0000) to overcome autocorrelation and heteroscedasticity issues. 4) Run both eviews regression model for each country separately.