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FinanceandEconomicsDiscussionSeries FederalReserveBoard,Washington,D.C.ISSN1936-2854(Print) ISSN2767-3898(Online) TheSlopeofthePhillipsCurve FrancescoFurlanetto,AntoineLepetit2024-043 Pleasecitethispaperas: Furlanetto,Francesco,andAntoineLepetit(2024).“TheSlopeofthePhillipsCurve,”FinanceandEconomicsDiscussionSeries2024-043.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/FEDS.2024.043. NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers. TheSlopeofthePhillipsCurve∗ FrancescoFurlanetto∗ NorgesBank AntoineLepetit† FederalReserveBoard May24,2024 Abstract WereviewrecentdevelopmentsintheestimationandidentificationofthePhillipscurveanditsslope.Wehavethreemainobjectives.First,wedescribetheeconometricchallengesfacedbytraditionalapproachesofestimatingthePhillipscurve,explainhownewapproachesaddressthosechallenges,andassesswhichlimitationsstillremain.Second,wereviewthefindingsofthosenewapproachesandexaminetheevidenceregardingapotentialflatteningofthePhillipscurveinthepre-pandemicperiod.Third,weprovideanaccountofinflationdynamicsinthepost-pandemicperiodwithaparticularemphasisontheroleofnonlinearities. JELClassification:C51,E24,E31,E52 1.Introduction ThePhillipscurvehaslongservedastheworkhorsemodelofinflationandisusedbyeconomiststoanalyzeandforecasttheevolutionofinflation.Initsmodernform,ofwhichwegiveanexampleinequation(1),itpositsthatinflationπtdependsonacombinationoffutureexpectedinflation Etπt+1andpastinflationπt−1,ameasureofresourceutilization(heretheoutputgapyt−yt∗), andavarietyofsupplyshocksutincludingthoseaffectingthepricesoffood,energyandothercommodities: πt=γπt−1+(1−γ)Etπt+1+κ(yt−yt∗)+ut.(1) Thisparticularspecification,ahybridbetweenatraditionalbackward-lookingPhillipscurveandaforward-lookingNewKeynesianPhillipscurve,isthestartingpointofmanyempiricalexplorations,andwethereforeorganizeourdiscussionoftheliteraturearoundit. Oneparameterinequation(1)istheobjectofconsiderableattention:thecoefficientattachedtothemeasureofresourceslack,κ,thatiscommonlyknownastheslopeofthePhillipscurve.There ∗TheviewsexpressedinthispaperaresolelytheresponsibilityoftheauthorsandshouldnotbeinterpretedasreflectingtheviewsofNorgesBankandoftheBoardofGovernorsoftheFederalReserveSystem.WethankGiovanniRiccoandseminarparticipantsattheFederalReserveBoardforusefulcomments.ThispaperissettobepublishedasachapterintheHandbookofInflationeditedbyGuidoAscariandRiccardoTrezzi. ∗NorgesBank.Email:francesco.furlanetto@norges-bank.no. †BoardofGovernorsoftheFederalReserveSystem.Email:antoine.lepetit@frb.gov. aretwomainreasonsforthisinterestinκ.First,κisakeydeterminantofthetrade-offbetweeninflationandrealactivityfacedbythemonetaryauthority.Forexample,alargeκimpliesthatinflationcanbereducedatlittlecostintermsofeconomicactivity.Inversely,asmallκentailsthatlargedeclinesinoutputarenecessarytoobtainasignificantreductionininflation.Second,Phillipscurvessuchasequation(1)areoneofthemaintoolsusedinpolicyinstitutionstogenerateforecasts ofinflation.Inthatregard,givenanassessmentofthevalueoftheoutputgapyt−yt∗anditslikely evolution,knowingκhelpsforecastthefuturetrajectoryofinflation. WhiletherearemanyimportantandinterestingaspectsofPhillipscurvesspecificationandestimationthatdeservediscussion,inthissurveywenarrowlyfocusourattentiononestimatesoftheslopeparameterκ.1Wehavethreemainobjectives.First,weprovideanupdateofnewde-velopmentsinestimationandidentificationmethodssincetheauthoritativesurveyofMavroeidis,Plagborg-MollerandStock(2014).Inparticular,webrieflydescribetheeconometricchallengesfacedbytraditionalapproachesofestimatingthePhillipscurvethataredescribedintheaforemen-tionedpaper,explainhownewapproachesproposetoaddressthosechallenges,andexaminewhichlimitationsstillremain.Second,wereviewtheevidenceregardingapotentialflattening—adecreaseinκ—ofthePhillipscurveinthepre-pandemicperiod.Third,weprovideanaccountofinflationdynamicsinthepost-pandemicperiodandlookintoclaimsthatthePhillipscurvehassteepenedinrecentyears. AsidefromanarrowfocusontheslopeofthePhillipscurve,wealsohadtomakeseveralotherchoicestokeepthissurveyrelativelyshort.First,weonlyconsidercertainapproachestoestimatingthePhillipscurve.Notably,wedonotreviewtheevidencecomingfromfullinformationanalysisofgeneralequilibriummodelswherethePhillipscurveisonlyoneofmultiplestructuralequationswithinasimultaneoussystem.Second,wemainlyfocusonthepricePhillipscurve,althoughtheeconometricchallengesandassociatedsolutionsthatwedescribealsoapplytotheestimationofthewagePhillipscurve.Third,althoughwementionsomeresultsforothercountries,theevidencethatwepresentismainlycenteredontheUnitedStates(forarecentreviewofEuroAreaevidenc