Arbeitspapier
Inflation and inflation uncertainty in the Euro Area
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly owing to exogenous shocks. A sequential dummy procedure provides further evidence of a structural break coinciding with the introduction of the euro and resulting in lower long-run uncertainty. It also appears that the direction of causality has been reversed, and that in the euro period the Friedman-Ball link is empirically supported, implying that the ECB can achieve lower inflation uncertainty by lowering the inflation rate.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 2720
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Monetary Policy
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
inflation
inflation uncertainty
time-varying parameters
GARCH models
ECB, EMU
Inflationserwartung
Inflation
Risiko
Europäischer Währungsverbund
Zentralbank
VAR-Modell
ARCH-Modell
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Onorante, Luca
Paesani, Paolo
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Onorante, Luca
- Paesani, Paolo
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2009
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