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This paper re-examines the empirical Phillips curve (PC) model and its usefulness in the context of medium-term inflation forecasting. A latent variable Phillips curve hypothesis is formulated and tested using 3,968 randomly generated factor combinations. Evidence from US core PCE inflation between Q1 1983 and Q1 2025 suggests that latent variable PC models reliably outperform traditional PC models six to eight quart…
Low inflation was once a welcome to both policy makers and the public. However, Japan's experience during the 1990's changed the consensus view on price of economists and central banks around the world. Facing deflation and zero interest bound at the same time, Bank of Japan had difficulty in conducting effective monetary policy. It made Japan's stagnation unusually prolonged. Too low inflation which annoys central b…
The evolution of the rate of price inflation and unemployment in Japan has been modeled within the Phillips curve framework. As an extension to the Phillips curve, we represent both variables as linear functions of the change rate of labor force. All models were first estimated in 2005 for the period between 1980 and 2003. Here we update these original models with data through 2012. The revisited models accurately de…
We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this macroeconomic variable was first tested as a predictor of inflation and unemployment in 2005 with the involved time series ended in 2003. Here we extend all series by nine new readi…
A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficients of individual and generalized models obtained empirically. To achieve the best fit between measured and predicted time series cumulative curves are used as a simplified version of the 1-D boundary elements method. All …
The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually negotiate digital money. Cryptocurrencies trade at prices mainly driven by investor sentiment, becoming a potential source of financial bubbles and instabilities. In this work, we apply quantitative models to the study of Bitcoin and Ether,…
It is widely assumed that in our lifetimes the products available in the global economy have become more diverse. This assumption is difficult to investigate directly, however, because it is difficult to collect the necessary data about every product in an economy each year. We solve this problem by mining publicly available textual descriptions of the products of every large US firms each year from 1997 to 2017. Alt…
We present an advance bubble detection methodology based on the Log Periodic Power Law Singularity (LPPLS) confidence indicator for the early causal identification of positive and negative bubbles in the Chinese stock market using the daily data on the Shanghai Shenzhen CSI 300 stock market index from January 2002 through April 2018. We account for the damping condition of LPPLS model in the search space and implemen…
In this paper, we consider a framework adapting the notion of cointegration when two asset prices are generated by a driftless Itô-semimartingale featuring jumps with infinite activity, observed regularly and synchronously at high frequency. We develop a regression based estimation of the cointegrated relations method and show the related consistency and central limit theory when there is cointegration within that fr…
The purpose of this study is to estimate the production function and examine the structure of production in the mining sector of Iran. Several studies have already been conducted in estimating production functions of various economic sectors; however, less attention has been paid to mining sectors. After examining the stationarity of variables using augmented Dickey-Fuller and Phillips-Perron tests, this study estima…
We re-estimate statistical properties and predictive power of a set of Phillips curves, which are expressed as linear and lagged relationships between the rates of inflation, unemployment, and change in labour force. For France, several relationships were estimated eight years ago. The change rate of labour force was used as a driving force of inflation and unemployment within the Phillips curve framework. The set of…
The Lucas critique has exposed the problem of the trade-off between changes in monetary policy and structural breaks in economic time series. The search for and characterisation of such breaks has been a major econometric task ever since. We have developed an integral technique similar to CUSUM using an empirical model quantitatively linking the rate of inflation and unemployment to the change in the level of labour …
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an approach to correction of macroeconomic models (in terms of initial prerequisites) is generalized. A methodology based on balance relations for modelling of economic dynamics, including obtaining forecast estimates, is devel…
The evolution of inflation, p(t), and unemployment, UE(t), in Japan has been modeled. Both variables were represented as linear functions of the change rate of labor force, dLF/LF. These models provide an accurate description of disinflation in the 1990s and a deflationary period in the 2000s. In Japan, there exists a statistically reliable (R2=0.68) Phillips curve, which is characterized by a negative relation betwe…
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an approach to correction of macroeconomic models (in terms of initial prerequisites) is generalized. A methodology based on balance relations for modelling of economic dynamics, including obtaining forecast estimates, is devel…
There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King (1997), Clarida et al. (1999), Svensson (1999) and Woodford (2003). In this paper we extend the standard optimal monetary policy model by introducing nonlinearity into the Phillips curve. Under the specific form of non…
Subgraph representation learning is a technique for analyzing local structures (or shapes) within complex networks. Enabled by recent developments in scalable Graph Neural Networks (GNNs), this approach encodes relational information at a subgroup level (multiple connected nodes) rather than at a node level of abstraction. We posit that certain domain applications, such as anti-money laundering (AML), are inherently …