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 …

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 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 …

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 …

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 …

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 …

We use a Markov regime-switching heteroskedasticity model in order to examine the association between inflation and … inflation uncertainty in four European countries over the last forty years. This approach allows for regime shifts in both the … mean and variance of inflation in order to assess the association between inflation and its uncertainty in short and long …

The paper considers interrelation between inflation and inflation uncertainty in Latvia. The monthly growth in CPI in … the period from January 1994 to June 2007 has been used as an inflation measure. The application of the GARCH-M model with … lagged inflation in GARCH equation proves that a positive relationship between inflation and inflation uncertainty does exist …