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This paper investigates the relationship between inflation and inflation uncertainty in twelve EMU countries. A time …-varying GARCH model is estimated to distinguish between short-run and steady-state inflation uncertainty. The effects of the …-state inflation has generally remained stable, steady-state inflation uncertainty and inflation persistence have both increased, and …
Persistent link: https://www.econbiz.de/10005406171
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10005013037
changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate …
Persistent link: https://www.econbiz.de/10008872211
individuals use simple rules of thumb (heuristics) to forecast the future inflation and output gap. We compare this model with the …
Persistent link: https://www.econbiz.de/10005405712
We investigate the international linkages of inflation uncertainty in the G7. In a first step, we document that … inflation uncertainty in the G7 is intertwined. Moreover, the degree of synchronization has increased during the recent two … international shock that drives national inflation uncertainty and which is closely related to oil and commodity price uncertainty …
Persistent link: https://www.econbiz.de/10010877745
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10010575442
and inflation in the member countries. Stress in a country is defined as the difference between the country’s actual short …
Persistent link: https://www.econbiz.de/10005094297
restrictions which are not rejected by the data - the cost channel helps to generate an initial rise of inflation after a monetary …
Persistent link: https://www.econbiz.de/10005094397
of the relation between market power and inflation. We examine this relation for individual firms in eleven U … generate quantitative evidence on the responsiveness of market power to inflation. We find that inflation usually has a …
Persistent link: https://www.econbiz.de/10005094449
found to help rationalizing the hump-shaped response of inflation, without resorting to the counterfactual assumption of …
Persistent link: https://www.econbiz.de/10008572477