Purpose – The purpose of this paper is to establish a link between inflation uncertainty and interest rates for five … inflation-targeting countries. Design/methodology/approach – The approach takes the form of a time-varying parameter model with … and structural uncertainty. Findings – This study attempts to establish a link between inflation uncertainty and interest …

This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and … autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence … from both the linear vector autoregressive (VAR) and nonparametric regression models show that higher inflation rates lead …

A great of deal of study has explored the relationship between inflation and inflation uncertainty under the … distribution specification and regime shifts will affect the inflation-uncertainty relationship. Empirical results show that these … two factors have a vital effect on the inflation-uncertainty relationship. A specification with four states and the …

In this paper we study the relationship between output and inflation for India, South Africa and Brazil, using the … that output volatility raises output growth, and that output volatility reduces inflation. For Brazil, we do not find any … evidence of a systematic relationship between inflation and output growth. …

relationship, and 2) using inflation as an additional explanatory variable. By implementing a well structured estimation strategy …, we found that after taking the level shift into account, a cointegrating equation, including inflation, exists and is …

Using the same data as Chow and Wang (2010) [Chow, Gregory C., Wang, Peng, 2010. The empirics of inflation in China …. Economics Letters 109, 28–30], as well as a smooth transition regression model, this paper reconsiders the empirics of inflation … inflation in China, in contrast to the results derived with Chow and Wang’s model of constant parameters. …

Recently a market in options based on consumer price index inflation (inflation caps and floors) has emerged in the US …. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these … fitted to inflation. The options-implied densities assign considerably more mass to extreme inflation outcomes (either …

15 years. Controlling for the most important other factors influencing the inflation rate, we estimate cointegrations and …

Purpose – The main purpose of this study is to examine the dynamic relationship between tourist arrivals, inflation … variables are cointegrated and the dynamic ordinary least squares estimator suggest that unemployment, inflation and tourist … arrivals are positively related to crime rates in Malaysia. For Granger causality, in the long-run tourist arrivals, inflation …