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 their linkages 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. Steadystate 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, consistently with the idea that the ECB can achieve lower inflation uncertainty by lowering the inflation rate.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1229
- 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
-
ECB
EMU
GARCH Models
inflation
Inflation Uncertainty
time-varying parameters
Inflationserwartung
Inflation
Risiko
Europäisches Währungssystem
Zentralbank
VAR-Modell
ARCH-Modell
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Paesani, Paolo
Onorante, Luca
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Paesani, Paolo
- Onorante, Luca
- European Central Bank (ECB)
Entstanden
- 2010
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