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 …

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 …

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 …

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 …

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 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 …

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 …

In this paper we study the relationship between output and inflation for India, Brazil, and South Africa using the … that output volatility raises output growth, and that output volatility reduces inflation. For Brazil, we do not find any … evidence of a systematic relationship between inflation and output growth. …

Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled … indicator for inflation uncertainty. Moreover, the idiosyncratic component of survey disagreement contains systematic … that higher inflation is followed by higher uncertainty. By contrast, we obtain contradictory results for the individual …