Artikel
Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries
This paper explores bidirectional linkage between inflation and its uncertainty by observing monthly data of 11 Eastern European countries. The methodological approach comprises two steps. First, inflation uncertainty series have been created by choosing an optimal Generalized Autoregressive Conditional Heteroskedasticity- (GARCH) type model. Subsequently, inflation and inflation uncertainty have been observed together by two models examining whether Friedman's and Cukierman–Meltzer's hypotheses hold for selected Eastern Europe Countries (EEC). Due to the heterogeneous behaviour of some series of inflation and inflation uncertainty, the unconditional quantile regression estimation technique has been applied because of its robustness to the particular non-normal characteristics and outliers' presence in the empirical data. According to the findings, both Friedman's and Cukierman–Meltzer's hypotheses have been confirmed primarily for the largest EEC with flexible exchange rate. In contrast, these theories are refuted in smaller, open economies with firm exchange rate regime.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Baltic Journal of Economics ; ISSN: 2334-4385 ; Volume: 14 ; Year: 2014 ; Issue: 1-2 ; Pages: 124-139 ; London: Taylor & Francis
- Klassifikation
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Price Level; Inflation; Deflation
- Thema
-
inflation
inflation uncertainty
GARCH
quantile regression
Eastern European countries
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Živkov, Dejan
Njegic, Jovan
Pecanac, Marko
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
London
- (wann)
-
2014
- DOI
-
doi:10.1080/1406099X.2014.993831
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Živkov, Dejan
- Njegic, Jovan
- Pecanac, Marko
- Taylor & Francis
Entstanden
- 2014
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