Caporale, Guglielmo Maria; Kontonikas, Alexandros - In: Journal of International Money and Finance 28 (2009) 6, pp. 954-971
This paper adopts a time-varying GARCH framework to estimate short-run and steady-state inflation uncertainty in 12 EMU countries, and then investigates their relationship with inflation. The effects of the Euro introduction in 1999 are examined by utilising a dummy variable. Tests for...