Causal relations between inflation and inflation uncertainty—Cross sectional evidence in favour of the Friedman–Ball hypothesis

We test for causality between inflation and its associated uncertainty by means of both in-sample and out-of-sample modelling. Our findings indicate that the impact of inflation on inflation uncertainty is more pronounced than the reverse causal effect.

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Year of publication:	2012
Authors:	Hartmann, Matthias ; Herwartz, Helmut
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 2, p. 144-147
Publisher:	Elsevier
Subject:	Inflation uncertainty \| Inflation forecasting \| Granger causality

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Type of publication:	Article
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; E37 - Forecasting and Simulation ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041822