We provide a robustness check of the US Phillips curve in the frequency domain.
We design frequency-specific coeffcients of correlation (FSCC) and regression
(FSCR), based on our frequency-specific data extraction procedure. Being
real-valued, signed and normalised, the FSCC is superior to traditional
indicators such as coherence and cospectrum. Our FSCC and FSCR estimates
suggest that the Phillips tradeoffs vary greatly across frequencies, with
frequent sign reversals. They seem to be stable in higher frequencies, but
unstable in low and medium frequencies, and they are sensitive to the level and
boundaries of frequency aggregation, to the way data are processed prior to
analysis (eg detrending) and to the type of variables used. In this sense, the
Phillips curves are fragile. The impact of potential cross-frequency model
inconsistency on model estimation using conventional time domain methods needs
careful scrutiny.
JEL Classification Numbers: C19, E30
Phillips curve, inflation-output tradeoff, fltering, frequency-specic
coefficient of correlation, spectral regression.