Le premier chapitre consiste en une brève revue de littérature dont les éléments sont repris dans les différentes introductions des études empiriques proposées dans la suite de la thèse. L'objet de cet état des lieux est de fixer le cadre général des analyses macro-économétriques opérées dans la thèse. Ce cadre nous permet d'une part, d'envisager une adéquate intégration des anticipations des agents économiques dans le raisonnement ayant mené aux modèles keynésiens actuels et d'autre part, d'effectuer des estimations des principales versions de la courbe de Phillips introduites dans la littérature macro-économique post-seconde guerre mondiale. Dans cette optique, la thèse est constituée de trois études empiriques. Dans la première de ces études, nous nous plaçons au sein d'un cadre uni-varié et tentons de discriminer entre plusieurs spécifications, proposant différentes caractérisations économétriques de la dynamique du taux d'inflation U.S. Essentiellement, trois types de spécifications, théoriquement associés à trois évolutions possibles du taux d'inflation espéré (anticipé), sont mis à l'épreuve. Les résultats de cette première étude montrent que la dynamique du taux d'inflation peut être pertinemment décrite à l'aide d'un modèle à changements de (trois) régimes markoviens dans les dérives (Intercepts) d'un processus autorégressif (d'ordre deux), soit le modèle MSI(3)-AR(2). La deuxième étude s'opère dans le cadre multi-varié d'une Nouvelle Courbe de Phillips Keynésienne à Inflation tendancielle Positive (NKPC-PI). Au sein de ce cadre, la relation d'arbitrage Inflation/Activité réelle est estimée suivant une procédure en deux étapes. Dans la première, nous identifions des régimes distincts du taux d'inflation U.S. à l'aide d'un modèle à changements de (trois) régimes markoviens dans les dérives d'un processus vectoriel autorégressif (d'ordre deux), soit le modèle MSI(3)-VAR(2). Dans la seconde étape, nous estimons les paramètres structurels de cette économie keynésienne afin d'extraire la courbe de Phillips résultante des changements de régimes initialement identifiés. Les résultats de cette deuxième étude nous amènent à conclure à une non-négligeable instabilité de la courbe de Phillips au cours de la période post-seconde guerre mondiale. La troisième étude se présente comme un prolongement et/ou un approfondissement des deux premières. Aussi, dans sa première partie, nous revenons sur les dynamiques tendancielles individuelles des quatre variables intervenant dans le cadre de modélisation NKPC-PI. Les résultats issus de ces premières estimations en contextes uni-variés montrent que seule la dynamique du taux d'inflation et, dans une moindre mesure, celle du coût marginal réel semble obéir à des changements de régimes. La spécification retenue pour l'inflation est celle de la première étude (MSI(3)-AR(2)), tandis que la dynamique du coût marginal réel pourrait être approchée à l'aide d'un modèle à changements de (deux) régimes dans les dérives d'un processus autorégressif (d'ordre deux), soit le modèle MSI(2)-AR(2). Les dynamiques du taux d'actualisation nominal et du taux de croissance de l'output (les deux autres variables du modèle NKPC-PI) semblent, quant à elles, être assez bien caractérisées par des spécifications linéaires autorégressives à deux retards (AR(2)). Sur la base de ces premiers résultats, nous estimons, dans la deuxième partie de l'étude, la nouvelle courbe de Phillips keynésienne en considérant que les processus générateurs des quatre séries du modèle peuvent répondre à de possibles intégrations fractionnelles. Les résultats de ces dernières estimations montrent que la prise en compte simultanée des changements de régimes et de la longue mémoire dans les dynamiques des variables du modèle apporte certains éclairages sur l'évolution du débat mené autour de la relation d'arbitrage post-seconde guerre mondiale. / This PhD thesis proposes, through her three articles, a macro-econometric framework of integrating, in the most adequate way to our sense, the expectations of the economic agents in the reasoning having led to current New-Keynesian models. Upon this specified frame of analysis, we evaluate the effectiveness of various versions of the Phillips curve introduced into the macroeconomic literature. The first study of this thesis takes place in a univariate context and we seek to determine an econometric model leading to best characterize the U.S inflation rate dynamic. In order to achieve this, three types of specifications, associated with three possible evolutions of the expected rate are considered. The first allows an overall instability of the trend or the expected inflation rate. The second considers an alternative specification in which the expected inflation rate is unstable in periodic segments of the sample. Finally, the last specification allows instability of a "mixed type" in which the trend inflation rate is assumed to be random or subject to a probability schema. The results of our study indicate that this last specification is the one that gives the most adequate characterization of the inflation rate dynamic. The inflation rate then appears generated by a second order autoregressive process with, on the one hand, unchanging lag coefficients and, on the other, an unconditional mean which switch between three global regimes of different frequencies of accession. Based on these first results, we extend the analysis in a multivariate framework. The main topics of the second paper are to challenge the rational nature of the agents expectations and the structural effectiveness of the behaviorally micro-based New Keynesian Phillips Curve with a Positive steady state Inflation (NKPC-PI). We then model the trade-off between the U.S inflation rate and a Unit Labor Cost-based measure of the real activity through Markov Switching - Vectorial AutoRegressive (MS-VAR) specifications. These specifications allow to adequately capturing the rationality in the agents expectations process as they underlie a finite number of expected inflation rate regimes, which highlight the agents adaptive beliefs on the achievements of these regimes. Moreover, the results confirm the structural stability of the NKPC-PI over the inflation rate regimes as its deep parameters seem to be unaffected by the regimes switching (Cogley & Sbordone (2005) and Groen & Mumtaz (2008)). In the third study, we extend the analysis of the Phillips curve trade-off. First, we look at determining econometrics models leading to characterize the dynamics of all the variables underlying the trade-off in univariate contexts. As a result, it appears that an adequate way to characterize the agents expectations regarding the dynamics of these variables is to consider a combination of some fixed levels (regimes) in the variables evolutions with an agents adaptive beliefs notion. Finally, based on the implied expectations values of the variables, we show that the Phillips curve seems to disappear when the impact of the expected inflation rate on its current value converges to its long-term value.

Made available in DSpace on 2015-03-05T18:57:20Z (GMT). No. of bitstreams: 0 Previous issue date: 9 / Nenhuma / Essa dissertação procura avaliar a dinâmica da inflação no Brasil no período de março de 2000 a dezembro de 2007, através de uma Curva de Phillips híbrida, na especificação que permite além do termo “forward looking”, representado pela expectativa de inflação, o termo “backward looking” através da inflação defasada. Inicialmente, procura-se fazer uma exposição da teoria da Curva de Phillips, partindo da abordagem clássica até a abordagem dos novos keynesianos. A revisão da literatura destaca que a Curva de Phillips tem dificuldade em se ajustar à dinâmica da inflação. Dessa forma, a inclusão do termo que representa a inércia da inflação melhora sua adequação. Conjuntamente, o nível de atividade representado pelo hiato do produto não é estatisticamente significativo, fato esse que é suportado por outros trabalhos na literatura. Avalia-se a utilização do custo unitário do trabalho como proxy do nível de atividade, e os resultados não se alteram significativamente. Os dados de inflação relativos ao último trimes / This dissertation assess the inflation dynamics in Brazil through a hybrid Phillips Curve, at the specification that allows the "forward term", represented by inflation expectation, and the "backward term" through by inertial inflation. Initially, several approaches for the Phillips Curve's theory, from classical to new Keynesian, are presented and detailed. As pointed out by the precedent literature, it is shown that the Phillips Curve has some difficulty in adjusting to the inflation dynamics and, as a consequence, that the addition of the “backward term” enhances its fit. Furthermore, the inclusion of a proxy variable for the level of activity, represented by the output gap, is not statistically significant, result supported by previous studies in literature. Finally, it is analyzed the use of a unit labor cost as a proxy for the level of activity, with no significant changes in the results. The inflation data regarding the last tree months of 2002 are influenced by the effects of the political crisis at t

New keynesian Phillips curve (NKPC) has become a central model to study the relation between inflation and real economic activity, notably in the framework of optimal monetary policy design. However, some recent evidence suggests that empirical data are usually at odds with the underlying theory. The model due to its inherent structure represents a statistical challenge in its own right. Since Galí and Gertler (1999) published their seminal paper introducing estimation via GMM techniques, they have triggered a heated debate on its empirical relevance. Their approach has been heavily criticised by later authors, mainly on the grounds of questionable behaviour of GMM estimator in the NKPC context and/or its small sample properties. The common criticism includes sensitivity to the choice of instrument set, weak identification and small sample bias. In this thesis I propose a new estimation strategy that provides a remedy to above mentioned shortcomings and allows to obtain reliable estimates. The procedure exploits recent advances in GMM theory as well as in other fields of statistics, in particular in the area of time series factor analysis and bootstrap. The proposed estimation strategy consists of several consecutive steps: first, to reduce a small sample bias resulting from excessive use of instruments I summarize all available information by employing factor analysis and include estimated factors into information set. In the second step I use statistical information criteria to select optimal instruments and eventually I obtain confidence intervals on parameters using bootstrap method. In NKPC context all these methods were used for the first time and can also be used independently. Their combination however provides synergistic effect that helps to improve the properties of estimates and to check the efficiency of given steps. Obtained results suggest that NKPC model can explain Czech inflation dynamics fairly well and provide some support for underlying theory. Among other things the results imply that the policy of disinflation may not be as costly with respect to a loss in aggregate product as earlier versions of Phillips curve would indicate. However, finding a good proxy for real economic activity has proved to be a difficult task. In particular we demonstrated that results are conditional on how the measure is calculated, some measures even showed countercyclical behaviour. This issue -- in the thesis discussed only in passing -- is a subject of future research. In addition to the proposed strategy and provided parameter estimates the thesis brings some partial simulation-based findings. Simulations elaborate on earlier literature on naive bootstrap in GMM context and study performance of bootstrap modifications of unit root and KPSS test.

[pt] O presente trabalho tem como principal objetivo contribuir para a desmistificação da dinâmica atual do deflator do consumo americano.Com esta finalidade, é avaliada a evolução temporal da Curva de Phillips americana, utilizando como referência a especificação apresentada por Yellen (2015). Os resultados encontrados são analisados e comparados com novas estimativas para diferentes variáveis de núcleo de inflação, expectativa de inflação e ociosidade do mercado de trabalho. A hipótese de não linearidade da Curva de Phillips também é testada. Por fim, um modelo alternativo ao de referência é sugerido e o deflator do consumo é desagregado para uma melhor compreensão. Concluímos que a Curva de Phillips continua válida e que não houve achatamento ao longo dos anos 2000. Ademais, não foi constatado suporte estatístico para a hipótese de não linearidade. Com isso, os principais responsáveis identificados pelo caso da inflação perdida são categorias que sofreram choques estruturais relacionados aos seus respectivos setores. E se esta avaliação estiver correta e os choques setoriais forem persistentes, o banco central americano possivelmente precisará implementar uma posição mais acomodatícia do que seria apropriado para atingir sua meta de longo prazo. / [en] The purpose of this dissertation is to contribute to the demystification of the current dynamics of the inflation in United States.The Phillips Curve in the United States is evaluated since 1990s, using the model presented by Yellen (2015) as a reference. The results are analyzed and compared with new estimates for different core inflation variables, inflation expectations, and labor market slack. The nonlinearity hypothesis of the Phillips curve is also tested. Finally, an alternative to the model is suggested and the consumption price deflator is disaggregated.The results indicate that the Phillips Curve is still valid and that there was no flattening over the 2000s. In addition, no evidence of statistical significance was found for the nonlinearity hypothesis. Therefore, the main cause of the missed inflation are categories that suffered structural shocks related to their respective sectors. If this assessment is accurate and these sector-specific shocks continue, achieving the Federal Reserve s 2 percent inflation goal over the medium term may require a more accommodative stance of monetary policy than might otherwise be appropriate.

Government fiscal and monetary policy has long been based on the theory that was neither proven nor refuted since its origination. The original form of the Phillips curve has undergone significant modifications but its relevance remains questionable. This thesis examines the correlation between inflation and unemployment observed in the Czech Republic and Germany over the last twenty years. The validity of the theory is tested by advanced methods of time series analysis in the R environment. All the variables are gradually tested which results in the assessment of the correlation between the time series. The outcome of the testing is presented for both countries and a comparison at international level is drawn. Is is discovered that both of the countries have dependencies in their data. Czech republic has significant dependency in both ways, for Germany is the dependency significantly weaker and only in one way.

This dissertation describes the relationship between inflation and unemployment with the concept of the natural rate of unemployment at which inflation remains unchanged. By comparing NAIRU, as defined in this manner, with the actual unemployment rate, we obtain the gap in unemployment. In connection with the analysed substitution between inflation and unemployment, there can be found a decrease in the importance of the PC in the 1970s, a very popular New Keynesian PC in the 1990s, and doubts over the robustness of the estimates. On the other hand, the concept of the PC and the NAIRU had previously been developed in accordance with the real data. There is a broad consensus on the impact of monetary policy on nominal variables (inflation) and real variables (unemployment). Methods are also being combined and continuously improved This dissertation is seeking to prove or disprove the hypothesis of the NAIRU concept's usability in estimating the economic cycle on the labor market. This hypothesis has helped in the acceptance of: the support for the concept and estimating PC and NAIRU in the literature; the application of measures to refine the estimate of the NAIRU and PC in the empirical analysis of the dissertation; the dissertation conclusion's compliance with the latest international research, with the local authors and with the own research. The contribution of the dissertation can be identified thusly: distribution methods depend upon the different time periods, their treatment and the best methods for the conditions of the countries in the Visegrad Group; the specification of an unstable environment and its impact upon the estimation of the NAIRU and the economic cycle; the calculation of the unemployment rate of the sectors, age categories and their use in estimating the NAIRU and cycle on the meso-level; to determine the effect of different pricing structure indicators in order to estimate the NAIRU and the economic cycle on the labor market and the topicality of their estimates.

Recent breakthrough studies by Gali and Gertler (1999), Sbordone (2002) and Roberts (2001) argue that the New Keynesian Phillips curve (based on Calvo pricing model) is empirically valid concept and they conclude that the real marginal costs are preferred driving force to output gap in inflation dynamics for open economies. Neiss and Nelson (2002) and Gali, Gertler and Salido (2001), in turn, contradict that to date, there has been only little empirical evidence to support this statement. Neiss and Nelson (2002) add that "once output gap is defined consistently with economic theory, the gap-based New Keynesian Phillips curve has a fit with data which is at least as good as the real marginal costs-based one". For this purpose, my study investigates relationship between output gap and inflation described in the hybrid New Keynesian Phillips curve. Study estimates key coefficients of the hybrid gap-based New Keynesian Phillips curve, with both forward- and backward-looking inflation components, in the Czech Republic for periods 2000Q1 - 2012Q4 using Kalman filtration. My findings suggest that (i) output gap has a significant impact on Czech inflation dynamics (ii) share of forward-looking agents predominates to backward-looking agents in the Czech Republic and (iii) Czech inflation seems to be significantly driven by change in import prices.

Unemployment modelling covers both view of the labour market such as is, economy and knowledge of mathematics, statistics and, thus, econometrics. The importance of unemployment seems to be even more significant after the period of crisis; high unemployment is not only economic burden bud serious social risk and psychological problem as well. In the dissertation thesis, selected models used for unemployment modelling and -- in some cases for its prediction -- are introduced. To be able to predict the future trend of labour market reliably means to be able to plan tools of active and passive employment policies effectively. Alternatively, it means to search programs and supports that help in reduction of unemployment. Specific applications of models for the Czech labour market involve model of multistate life tables, simultaneous econometric models and Phillips curve. Phillips curve of mutual "trade-off" of unemployment and inflation is confirmed in short periods, in longer and long period of time rather fails, it is not reliable. It is not possible to use it for prediction at all; it would be needed to predict inflation. Analogous characteristics has the Beveridge curve. Simultaneous econometric models for number of economically active persons and for unemployment and inflation de facto fail, even though they demonstrate the range of opportunities including point and interval forecasts. Period of economic crisis when changes in labour market principles occur means usually problem for such the models, which work well in periods of stable growth or decline. More, it is difficult to specify these models correctly with regard to threat of multikolinearity. Multistate models aiming at calculation of multistate life tables, or even multistate projection are extremely demanding for input data. But they enable to understand relations or transitions among states, respectively. It is very beneficial tool for comprehension and policy planning in the area of labour market and social affairs in the process of lowering unemployment. Forecasts in such a type of model are possible but difficult because it is necessary to predict probability of transition among states.

First of all, general principals of contemporary macroeconometric models are described in this dissertation together with a brief sketch of alternative approaches. Consequently, the macroeconomic model of a monetary policy is formulated in order to describe fundamental relationships between real and nominal economy. The model originated from a linear one by making some of the parameters endogenous. Despite this nonlinearity, I expressed my model in a state space form with time-varying coefficients, which can be solved by a standard Kalman filter. Using outcomes of this algorithm, likelihood function was then calculated and maximized in order to obtain estimates of the parameters. The theory of identifiability of a parametric structure is also described. Finally, the presented theory is applied on the formulated model of the euro area. In this model, the European Central Bank was assumed to behave according to the Taylor rule. The econometric estimation, however, showed that this common assumption in macroeconomic modeling is not adequate in this case. The results from econometric estimation and analysis of identifiability also indicated that the interest rate policy of the European Central Bank has only a very limited effect on real economic activity of the European Union. Both results are influential, as monetary policy in the last two decades has been modeled as interest rate policy with the Taylor rule in most macroeconometric models.

[pt] O problema de identificação fraca surge naturalmente em modelos macroeconômicos. Consequentemente, métodos de variáveis instrumentais produzem resultados enigmáticos de forma mais frequente do que seria empiricamente razoável. Neste trabalho, propomos dois novos métodos para tratar destas dificuldades, no que tange a duas das principais equações de modelos macro: a Curva de Phillips Novo-Keynesiana (NKPC) e a Equação de Euler (EE). Sabe-se das dificuldades em se estimar um coeficiente de sensibilidade positivo entre inflação e produto no primeiro caso, e que, mesmo quando se obtém uma estimativa positiva, o nível de rigidez nominal implicado para a economia é incompatível com o que sugerem os micro dados. Nós abordamos essa questão no primeiro capítulo, propondo um modelo de economia multi-setorial com heterogeneidade na fixação de preços entre setores. O método gera coeficientes de sensibilidade positivos e estáveis para diferentes configurações econométricas, assim como níveis de rigidez nominal alinhados com a evidência micro, para a economia como um todo e também para cada setor individualmente. Todas essas estimativas variam em linha com implicações teóricas, quando hipóteses do modelo são alteradas. O foco do segundo capítulo é a estimação da elasticidade de substituição intertemporal (EIS), parâmetro central da EE. Argumentamos como o uso de séries oficiais de consumo – que são estatisticamente tratadas antes de disponibilizadas – distorce estimativas da EIS. Propondo um modelo generalizado para desfiltrar diferentes tipos de séries de consumo disponíveis, – micro e macro, com várias frequências –, demonstramos como a utilização de consumo não filtrado gera estimativas da EIS que são consideravelmente mais estáveis, independente do arcabouço econométrico e da série de consumo usada. Resultados também parecem menos sensíveis à presença de instrumentos fracos, comparativamente a estimações usando séries oficiais. / [en] The weak identification problem arises naturally in macroeconomic models. Consequently, instrumental variables methods produce puzzling results more often than what is empirically plausible. We propose novel methods to address puzzles usually featured in two of the main equations in macro models, namely the New-Keynesian Phillips Curve (NKPC) and the Euler Equation (EE). For the former, difficulties to estimate a positive slope without incurring a degree of stickiness incompatible with the micro evidence are widely known. We address the matter in the first chapter, proposing a richer framework of a multi-sector economy with price-setting heterogeneity. The procedure generates positive and roughly unchanging slope coefficients across econometric settings, as well as degrees of stickiness in line with the micro data, both regarding the entire economy and the cross section of sectors. Importantly, all of these estimates move consistently with implications by theory when modifying the model assumptions. The second chapter focuses on the estimation of the elasticity of intertemporal substitution (EIS), central parameter of the EE in models of dynamic choice. There, we argue that the use of officially reported consumption data – which is usually filtered, smoothed, interpolated, etc – distorts estimates of the EIS. A generalised model to unfilter available consumption data is proposed, suitable for several types of data – macro and micro – at different frequencies. Estimations based on unfiltered consumption produce considerably more stable estimates of the EIS, regardless of the econometric approach and the type of consumption data used. Results also seem less sensitive to the presence of weak instruments, compared to officially reported data.