The study applies a BEKK GARCH-M model to examine the effect of uncertainty on the levels of inflation and output … output growth, supporting the Friedman's (1977) hypothesis of a negative effect of inflation uncertainty on output growth …. Uncertainty about growth does not have a significant effect on both the levels of inflation and output growth. The evidence in …

The study applies a BEKK GARCH-M model to examine the effect of uncertainty on the levels of inflation and output … output growth, supporting the Friedman’s (1977) hypothesis of a negative effect of inflation uncertainty on output growth …. Uncertainty about growth does not have a significant effect on both the levels of inflation and output growth. The evidence in …

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 …

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … change associated with the start of EMU in 1999. The main findings are as follows. Steadystate inflation and inflation … can achieve lower inflation uncertainty by lowering the inflation rate. …

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 …

The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence … inflation and inflation uncertainty in Egypt using monthly time series data during the period January 1974 - April 2015. To … endogenously control for any potential structural breaks in the inflation time series, Zivot and Andrews (2002) and Clemente …

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 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 …

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 …

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 …