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 on the level of inflation only in the real term. Moreover, inflation uncertainty …

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. Applying this model to the G7 countries with monthly data from 1970 …

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 paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over … three variables. The major findings are: (i) inflation uncertainty increases more in response to positive inflation … surprises than to negative surprises in all countries; (ii) inflationary shocks affect positively inflation uncertainty as …

inflation, as hypothesized by Friedman. To the extent that inflation uncertainty has negative output effects, this strengthens … monthly inflation in India in the period 1957-2005, with causation running from inflation to uncertainty about future …

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. …

This paper uses the ARFIMA-FIGARCH model to investigate the China¡¯s monthly inflation rate from January 1983 to … October 2005. It is found that both first moment and second moment of inflation have remarkable long memory, indicating the … existence of long memory properties in both inflation level and inflation uncertainty. By the Granger-causality test on …

We use over two hundred years of US inflation data to examine the impact of inflation uncertainty on inflation. An … analysis of the full period without allowing for various regimes shows no impact of uncertainty on inflation. However, once we … distinguish between recessions and non recessions, we find that inflation uncertainty has a negative effect on inflation only in …