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Persistent link: https://www.econbiz.de/10005166411
In the crude oil market the phenomenon of Long Memory can be easily identified with the help of the simple (but effective) methodology of Katsumi Shimotsu. The Exact Local Whittle estimator and two testing strategies provide a strong assessment of the phenomenon. We present evidences and we...
Persistent link: https://www.econbiz.de/10009143627
This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of...
Persistent link: https://www.econbiz.de/10011125860
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 introduction of the Euro in 1999 are then examined...
Persistent link: https://www.econbiz.de/10005406171
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 introduction of the Euro in 1999 are then examined...
Persistent link: https://www.econbiz.de/10005456423
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...
Persistent link: https://www.econbiz.de/10004971109
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 a Generalized Autoregressive Conditional...
Persistent link: https://www.econbiz.de/10010814543
This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1-2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation...
Persistent link: https://www.econbiz.de/10010729126
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...
Persistent link: https://www.econbiz.de/10010956143
A great of deal of study has explored the relationship between inflation and inflation uncertainty under the assumptions of normal distribution and no regime shift. This paper attempts to investigate whether changes in the specification of distribution specification and regime shifts will affect...
Persistent link: https://www.econbiz.de/10010577869