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Article Dans Une Revue Economic Modelling Année : 2014

Revisiting the inflation - output gap relationship for France using a wavelet transform approach

Résumé

The purpose of the paper is to revisit the inflation-output gap relationship using a new approach known as the wavelet transform. This approach combines the classical time series analysis with frequency domain analysis and presents the advantages of assessing the co-movement of the two series in the context of both time and frequencies. Using discrete and continuous wavelet methodologies for the study of the inflation-output gap nexus in the case of France, we determine that the output gap is able to predict the inflation dynamics in the short- and medium-runs, and these results have important implications to the Phillips curve theory. More precisely, we discovered that in a discrete wavelet framework, the short- and medium-term fluctuations of both variables are more closely correlated, whereas the continuous wavelet analysis states that the output gap leads inflation in short- and medium-runs.
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Dates et versions

hal-00954189 , version 1 (28-02-2014)

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Claudiu T. Albulescu, Cornel Oros, Aviral Kumar Tiwari. Revisiting the inflation - output gap relationship for France using a wavelet transform approach. Economic Modelling, 2014, 37, pp.464-475. ⟨10.1016/j.econmod.2013.11.039⟩. ⟨hal-00954189⟩
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