• KDI Journal of Economic Policy
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• 제38권2호
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• pp.1-20
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• 2016

In this paper, we conduct uniform inference of two widely used versions of the Phillips curve, specifically the random-walk Phillips curve and the New-Keynesian Phillips curve (NKPC). For both specifications, we propose a potentially time-varying natural unemployment (NAIRU) to address the uncertainty surrounding the inflation-unemployment trade-off. The inference is conducted through the construction of what is known as the uniform confidence band (UCB). The proposed methodology is then applied to point-ahead inflation forecasting for the Korean economy. This paper finds that the forecasts can benefit from conducting UCB-based inference and that the inference results have important policy implications.

• 한국산업정보학회논문지
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• 제19권3호
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• pp.75-85
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• 2014

This paper is to develop and estimate a closed form inflation model using the estimates for real marginal costs in manufacturing industries during the sample period 1975-2010. The production function in manufacturing industry incorporates labor, capital, domestic material, and foreign material, assuming constant returns to scale technology and AR(1) process of technological coefficient. We derive real marginal costs from firm's cost minimization with quarterly data and provide new evidences on the new Keynesian Phillips curve for Korea. The main empirical result is that the closed form coefficients ${\delta}_1$ and ${\delta}^{-1}_2$ in manufacturing for PPI inflation proved to be 0.5086 and 0.8779 respectively, similar to the estimates in the U.S. case. These results also are consistent with the functional relationship between the coefficients in hybrid model and its closed form. Thus the paper suggests that the empirical studies on inflation dynamics need to focus on the manufacturing industry with market power, treating PPI inflation as the dependent variable.

• KDI Journal of Economic Policy
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• 제31권1호
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• pp.1-25
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• 2009

본 논문은 일반적인 뉴 케인지언 이론의 주요 특징을 바탕으로 하는 동태적 확률 일반 균형 모형을 설정하고 이를 바탕으로 하여, 베이지안 추정법을 통해 한국의 자연 산출량과 자연 이자율의 추정을 시도하였다. 본 논문의 주요 결과는 다음과 같다. 첫째, 이러한 이론 모형에 의해 추정된 산출량 갭은 기존의 일반적인 접근법에 의한 추정치보다 변동 폭이 훨씬 작은 것으로 나타났다. 둘째, 다양한 모형 설정을 통해 결과의 민감도를 살펴본 경우, 필립스 커브에서의 과거 지향적 요인 및 소비 행태에서의 습관 형성 등이 한국 거시경제의 동태적 양상을 설명하는 데 중요한 요인일 수 있는 것으로 나타났다.