Description
Résumé: La présente étude, qui s'inspire de diverses recherches effectuées sur la dynamique des prix au Canada, examine certaines hypothèses susceptibles d'expliquer la piètre qualité des prévisions réalisées récemment à l'aide de la courbe de Phillips traditionnelle. Parmi les explications du problème de sous-estimation de l'inflation que nous considérons, l'hypothèse que le processus de formation des attentes d'inflation a changé au cours des dernières années est celle qui ressort le plus de nos conclusions. Les modifications des attentes ont, selon toute vraisemblance, été influencées par l'évolution de la politique monétaire. Pour tenir compte de cet élément, nous estimons la courbe de Phillips en y incluant quatre régimes autorégressifs déterminés à partir des résultats d'un modèle de Markov à changement de régime. La courbe de Phillips dotée de changements de régime permet de réaliser depuis 1991 des prévisions précises de l'inflation.
Abstract: This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve. Among the various explanations we consider for the persistent underestimation of inflation, the one that emerges most clearly from our findings is that the process by which inflation expectations are formed has changed in recent years. Shifts in expectations appear to have been influenced by monetary policy developments. To take account of this factor, we estimate a Phillips curve that incorporates four autoregressive regimes based on the results of a Markov-switching model. We find that when regimes are introduced, the Phillips curve produces accurate forecasts for inflation since 1991.
Abstract: This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve. Among the various explanations we consider for the persistent underestimation of inflation, the one that emerges most clearly from our findings is that the process by which inflation expectations are formed has changed in recent years. Shifts in expectations appear to have been influenced by monetary policy developments. To take account of this factor, we estimate a Phillips curve that incorporates four autoregressive regimes based on the results of a Markov-switching model. We find that when regimes are introduced, the Phillips curve produces accurate forecasts for inflation since 1991.