Documentos de trabajo The relation between the level and uncertainty of inflation
نویسندگان
چکیده
This paper focus on the problems faced in the empirical investigation of the relation between the level and volatility of inflation. Monthly inflation series seem to be affected by both the presence of outliers and conditional heteroscedasticity. First, the paper illustrates the implications that the presence of outliers and conditional heteroscedasticity have on the usual residual diagnostics. Then, estimates of the level and volatility of inflation are obtained for each of the countries of the G-7 group. Empirical evidence for the majority of the inflation series for these countries indicates both the presence of outliers and conditional heteroscedasticity, and that estimates of the latter are sensitive to the presence of outliers. Finally, the temporal dependence found in the conditional variance is enduring.
منابع مشابه
Investigation of the Impact of Structural Break on the Relationship between Inflation and Inflation Uncertainty in the Turkish Economy
This article examines the relationship between inflation and inflation uncertainty in the Turkish economy in this period 2004:01-2014:12. This relationship is explored in two ways: a) with the effect of structural breaks; b) without the effect of structural breaks. In fact, with regard to the main structural break have occurred over this period, we examine whether structural break has affected ...
متن کاملInflation and Inflation Uncertainty in Iran: An Application of GARCH-in-Mean Model with FIML Method of Estimation
This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the Iranian economy. The results of a two-step procedure such as Granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation. However...
متن کاملModeling the Impact of Inflation Uncertainty on Food Sector Growth
Background: One of the most fundamental objectives of the macroeconomic policies is to realize the relationship between economic growth and inflation. According to some monetary policy advisors, inflation reflects erosion in consumer’s purchasing power. Inflation as an important economic variable, affect the economic growth and its impact on economic growth has been proposed in various theories...
متن کاملDynamic Relationship between Inflation Uncertainty and Private Investment in Iran: An Application of VAR-GARCH-M Model
This paper empirically investigates the relationship between CPI inflation uncertainty, and private investment in the Iranian economy from 1988 to 2010 by using quarterly data. We employ a bivariate VAR(5)-GARCH(1,1)-in-mean with diagonal BEKK model to discover in a unified framework how are the interactions between the variables. In the model, conditional variance of inflation and private inve...
متن کامل