Artikel
The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model
This paper studies the impact of inflation on inflation uncertainty in a modelling framework where both the conditional mean and conditional variance of inflation are regime specific, and the GARCH model for inflation uncertainty is extended by including a lagged inflation term in each regime. Applying this model to the G7 countries with monthly data from 1970 till 2013, it is found that the impact of inflation on inflation uncertainty differs over the regimes in most of the G7 countries. The findings also provide strong empirical support to the well-known Friedman-Ball hypothesis of positive impact of inflation on inflation uncertainty, but only for the high-inflation regime.
- Sprache
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Englisch
- Erschienen in
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Journal: International Econometric Review (IER) ; ISSN: 1308-8815 ; Volume: 7 ; Year: 2015 ; Issue: 1 ; Pages: 34-50 ; Ankara: Econometric Research Association (ERA)
- Klassifikation
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Price Level; Inflation; Deflation
- Thema
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Inflation
Inflation Uncertainty
Regime Switching Model
- Ereignis
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Geistige Schöpfung
- (wer)
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Chowdhury, Kushal Banik
Sarkar, Nityananda
- Ereignis
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Veröffentlichung
- (wer)
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Econometric Research Association (ERA)
- (wo)
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Ankara
- (wann)
-
2015
- DOI
-
doi:10.33818/ier.278039
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chowdhury, Kushal Banik
- Sarkar, Nityananda
- Econometric Research Association (ERA)
Entstanden
- 2015
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