Title: On the estimation of the Phillips curve for the Russian economy
Authors: Andrey Zubarev - Russian Presidential Academy of National Economy and Public Administration (Russia) [presenting]
Abstract: The focus is on the estimation of the hybrid New-Keynesian Phillips curve with different kinds of price indices for the Russian economy. Three different measures of inflation are based on the following indices: the GDP deflator, the CPI, and the GDP deflator, net of exports. The main method of estimation is the continuously updating general method of moments (CUE), which has a smaller bias on finite samples and more valid values of the Hansen J-test for the overidentification compared to the standard GMM. The main result is that it is the dynamics of inflation calculated on the basis of the GDP deflator, net of exports, that is best described by the Phillips curve equation, and that the output gap is significant and has a positive sign which is consistent with the theory. Mayhap, this is due to the fact that the prices of imported and exported goods are not explicitly included into this measure of inflation. That is, it can be referred to as some ``internal'' inflation. This type of inflation is particularly new for the Phillips curve literature. Another important result is a slightly greater weight of forward-looking expectations in the formation of the inflation process.