Fig. 5

Sector-specific evidence of instability of the unemployment parameter in wage Phillips curve. a \( {\Delta}^4{w}_t={c}_t+{\sum}_{i=1}^h{\beta}_{it}{\Delta}^4{w}_{t-i}+{\delta}_t{E}_t\Delta {p}_{t+1}+{\gamma}_t{U}_t+{\varepsilon}_t \). b \( {\Delta}^4{w}_t={c}_t+{\sum}_{i=1}^h{\beta}_{it}{\Delta}^4{p}_{t-i}+{\delta}_t{E}_t\Delta {p}_{t+1}+{\gamma}_t{U}_t+{\varepsilon}_t \). Blue lines are 16th, 50th and 84th percentile from time-varying parameter model. The red line is OLS estimate from constant parameter model estimated over period 1999Q1–2015Q4