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recession times, thus providing support to the Holland hypothesis. …
Persistent link: https://www.econbiz.de/10008861733
Uncertainty about the future path of inflation affects consumption, saving and investment decisions as well as wage negotiations and price setting of firms. These decisions are based on inflation expectations which are a key determinant of inflation in the New Keynesian Phillips Curve. In this...
Persistent link: https://www.econbiz.de/10011594109
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...
Persistent link: https://www.econbiz.de/10011605275
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...
Persistent link: https://www.econbiz.de/10010271133
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...
Persistent link: https://www.econbiz.de/10010271965
Inflation and inflation uncertainty are critical factors influencing the functioning of markets and thus the efficient flow of economic activities. In this study, we investigated the effects of inflation and inflation uncertainty on growth in Ghana. Unlike the majority of the previous studies,...
Persistent link: https://www.econbiz.de/10014544495
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....
Persistent link: https://www.econbiz.de/10012610956
The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence on the link between the two is sparse in the case of Egypt. This paper investigates the causal relationship between inflation and inflation uncertainty in Egypt using monthly...
Persistent link: https://www.econbiz.de/10011708707
This study investigates the relationship between inflation, inflation uncertainty and output in Tunisia using real and nominal data. GARCH-in-mean model with lagged variance equation is employed for the analysis. The result shows that inflation uncertainty has a positive and significant effect...
Persistent link: https://www.econbiz.de/10010311028
The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence on the link between the two is sparse in the case of Egypt. This paper investigates the causal relationship between inflation and inflation uncertainty in Egypt using monthly...
Persistent link: https://www.econbiz.de/10011379937