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How to measure inflation volatility : a note

Garcia-Hiernaux, Alfredo; González-Pérez, María T.; … - 2023

Persistent link: https://www.econbiz.de/10014365407

Bubbles or Volatility : A Markov-Switching Unit Root Test with Regime-Varying Error Variance

Shi, Shuping - 2011

We demonstrate that the constant variance assumption in the Markov-switching Augmented Dickey-Fuller (ADF) test proposed by Hall, Psaradakis and Sola (1999) may result in the misjudgement of bubbles. Upon relaxing this assumption to allow for regime-varying error variances in the...

Persistent link: https://www.econbiz.de/10014177633

Inflation and the divergence of relative prices : evidence from a cointegration analysis

Scharff, Juliane - In: Advances in statistical analysis : AStA ; a journal of … 91 (2007) 2, pp. 141-158

Persistent link: https://www.econbiz.de/10003525362

Price variability and price dispersion in a stable monetary environment : evidence from German retail markets

Fengler, Matthias R.; Winter, Joachim - 2000

We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for … consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the … correlated with price changes. As the rate of inflation rises, both variability and dispersion become affected. During …

Persistent link: https://www.econbiz.de/10009612033