Mind the Output Gap: The Disconnect of Growth and Inflation during Recessions and Convex Phillips Curves in the Euro Area
构建理论模型并实证检验欧元区产出缺口与通胀的凸性关系，发现扩张期菲利普斯曲线系数增大、衰退期减小，且扩张性货币政策在衰退时对通胀压力更小，为非常规政策提供依据。
Abstract We develop a theoretical model that features a business cycle‐dependent relation between output, price inflation and inflation expectations, augmenting the model by Svensson (1997) with a nonlinear Phillips curve that reflects the rationale underlying the capacity constraint theory (Macklem, 1997). The theoretical model motivates our empirical assessment, based on a regime‐switching Phillips curve and a regime‐switching monetary structural VAR, employing different filter‐based, semi‐structural model‐based and Bayesian factor model‐implied output gaps. The analysis confirms the presence of a convex relationship between inflation and the output gap, meaning that the coefficient in the Phillips curve on the output gap recurringly increases during times of expansion and abates during recessions. Sign‐restricted monetary policy shocks based on a regime‐switching monetary SVAR reveal that expansionary monetary policy induces less pressure on inflation at times of weak as opposed to strong growth; thereby rationalizing relatively stronger expansionary policy, including unconventional volume‐based policy, during times of deep recession. A further augmented model shows that an effective euro exchange rate shock, too, implies business cycle state‐dependent responses, with more upward pressure on prices arising from unexpected currency depreciation at times of expansion than during recession phases.