| Titre | Relation de Phillips, boucle prix-salaire : une estimation par la méthode de Johansen | |
|---|---|---|
| Auteur | Frédéric Lerais, Hervé Le Bihan, Eric Heyer | |
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Revue | Economie et prévision |
| Numéro | no 146, 2000/5 | |
| Page | 43-60 | |
| Résumé anglais |
Revisiting the Classic Augmented Phillips Curve for France: a VECM Approach by Eric Heyer, Hervé Le Bihan et Frédéric Lerais
This paper presents an empirical model of a price- wage loop based on French quarterly data. We apply the Johansen maximum likelihood technique to deal with the series' non-stationarity and capture nominal rigidities. Given that prices and wages can be treated as I(2) variables, we estimate a VECM in terms of price and wage differences. The classic augmented Phillips curve is hence interpreted as a cointegration relation. Our specification is used to test different wage and price indexation assumptions and to model short-run nominal rigidities. Two other long-run relations are identified: the mark-up of value-added prices over labour costs and a consumer price inflation equation involving import prices. We also use the Johansen and Juselius (1995) approach to identify and estimate a set of structural short-run price and wage equations. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_2000_num_146_5_6127 |
