scholarly journals Review of Kalman Filter Employment in the NAIRU Estimation

Systems ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 33
Author(s):  
Fronckova ◽  
Prazak ◽  
Soukal
Keyword(s):  
Kalman Filter ◽  
Economic System ◽  
Phillips Curve ◽  
New Keynesian ◽  
System Stability ◽  
Reduced Form ◽  
Scientific Databases ◽  
System A ◽  
Cyclical Component ◽  
Model Features

The aim of the paper is to provide a recent overview of Kalman filter employment in the non-accelerating inflation rate of unemployment (NAIRU) estimation. The NAIRU plays a key part in an economic system. A certain unemployment rate which is consistent with a stable rate of inflation is one of the conditions for economic system stability. Since the NAIRU cannot be directly observed and measured, it is one of the most fitting problems for the Kalman filter application. The search for original, NAIRU focused and Kalman filter employment studies was performed in three scientific databases: Web of Science, Scopus, and ScienceDirect. A sample of 152 papers was narrowed down to 25 studies, which were described in greater detail regarding the focus, methods, model features, limitations, and other characteristics. A group of studies using a purely statistical approach of decomposing unemployment into a trend and cyclical component was identified. The next group uses the reduced-form approach which is sometimes combined with statistical decomposition. In such cases, the models are usually based on the backward-looking Phillips curve. Nevertheless, the forward-looking, New Keynesian or rarely hybrid New Keynesian variant can also be encountered.

scholarly journals Imperfect rationality and inflationary inertia: a new estimation of the Phillips Curve for Brazil

2004 ◽  
Vol 34 (4) ◽  
pp. 725-776 ◽  
Author(s):  
Angelo Marsiglia Fasolo ◽  
Marcelo Savino Portugal
Keyword(s):  
Monetary Policy ◽  
Kalman Filter ◽  
Phillips Curve ◽  
New Keynesian ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Regime Changes ◽  
Inertial Component ◽  
Imperfect Rationality ◽  
The Relationship

This paper presents some new estimates for the relationship between inflation and unemployment in Brazil based on a new Keynesian hypothesis about the behavior of the economy. Four main hypotheses are tested and sustained throughout the study: i) agents do not have perfect rationality; ii) the imperfection in the agents expectations generating process may be an important factor in explaining the high persistence (inertia) of Brazilian inflation; iii) inflation does have an autonomous inertial component, without linkage to shocks in individual markets; iv) a non-linear relationship between inflation and unemployment is able to provide better explanations for the inflation-unemployment relationship in the Brazilian economy in the last 12 years. While the first two hypotheses are tested using a Markov Switching based model of regime changes, the remaining two are tested in a context of a convex Phillips Curve estimated using the Kalman filter. Despite the methodological and estimation improvements provided in the paper, the impulse-response functions for the monetary policy presented the same properties shown in the literature that uses Brazilian data.

PEBB System Stability Margin Monitoring

2002 ◽  
Vol 8 (2) ◽  
pp. 261-276 ◽  
Author(s):  
Xiaogang Feng ◽  
Zhihong Ye ◽  
Fred C. Lee ◽  
Dushan Borojevic
Keyword(s):  
Stability Margin ◽  
System Stability ◽  
Linear Control ◽  
Small Signal ◽  
System A ◽  
Novel Approach ◽  
Implementation Approach ◽  
Dc Bus ◽  
Response Current ◽  
Measurement Approach

PEBB (power electronics building block) systems are typical nonlinear systems. Under the conventional but still popular linear control design, the system stability margin varies from one operating point to another. This paper introduces a novel approach to monitoring the DC bus stability margin of a PEBB system online. At the steady state of the system, a small-signal perturbation current î p is injected into the DC bus, and the load-side response current î L is measured. By checking the validation |î L ( jw)| < |î p ( jw)|, the system stability margin can be examined. Experiments on a 48 V DC DPS demonstrate the proposed measurement approach. An implementation approach is also proposed for an 800 V DC PEBB-based testbed system.

scholarly journals Movement of Inflation and New Keynesian Phillips Curve in ASEAN

Economies ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 34
Author(s):  
Adhitya Wardhono ◽  
M. Abd. Nasir ◽  
Ciplis Gema Qori’ah ◽  
Yulia Indrawati
Keyword(s):  
Inflation Rate ◽  
Phillips Curve ◽  
New Keynesian ◽  
Inflation Expectations ◽  
New Keynesian Phillips Curve ◽  
Method Of Moment ◽  
Inflation Model ◽  
Wage Inflation ◽  
Generalized Method Of Moment ◽  
Forward Looking

The development of the theory of dynamic inflation begins by linking wage inflation and unemployment. In further developments, factor of expectation is classified into inflation model. The study used inflation data is important for ASEAN, because ASEAN is one of the strengths of the international economy. This study analyzes the dynamics of inflation in the ASEAN using framework the New-Keynesian Phillips Curve (NKPC) model. The data used is the quarterly panel data from 5 ASEAN members in the period 2005.QI–2018.QIV. The study of this dynamic inflation applies quarter to quarter inflation data, meaning that the inflation rate is the percentage change in the general price of the current quarter compared to last quarter general price divided by the last quarter. The empirical results are estimated by using the Generalized Method of Moment (GMM), both of the system and first different indicates that the pattern formation of inflation expectations are backward-looking and forward-looking. In addition, the estimated NKPC models show the backward-looking behavior is more dominant than the forward looking. Changes in inflation are not entirely influenced by expectations of inflation in each country. Changes in inflation are also influenced by the output gap, changes in money supply, and exchange rate. Based on the findings of this study, it can be concluded that the NKPC models can explain the dynamics of inflation in each country in the ASEAN region.

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