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Persistent link: https://www.econbiz.de/10005166411
The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence on the link between the two is sparse in the case of Egypt. This paper investigates the causal relationship between inflation and inflation uncertainty in Egypt using monthly...
Persistent link: https://www.econbiz.de/10011708707
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....
Persistent link: https://www.econbiz.de/10012610956
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
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
This note, employing a GARCH model, finds a positive and significant relationship between the level and variability of monthly inflation in India in the period 1957-2005, with causation running from inflation to uncertainty about future inflation, as hypothesized by Friedman. To the extent that...
Persistent link: https://www.econbiz.de/10005824040
This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and the UK by employing linear and nonlinear Granger causality tests for the 1957:01-2006:10 period. Using a generalised autoregressive conditional heteroskedasticity (GARCH) model...
Persistent link: https://www.econbiz.de/10010616584
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....
Persistent link: https://www.econbiz.de/10011255444
The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence on the link between the two is sparse in the case of Egypt. This paper investigates the causal relationship between inflation and inflation uncertainty in Egypt using monthly...
Persistent link: https://www.econbiz.de/10011379937
Inflation and inflation uncertainty are critical factors influencing the functioning of markets and thus the efficient flow of economic activities. In this study, we investigated the effects of inflation and inflation uncertainty on growth in Ghana. Unlike the majority of the previous studies,...
Persistent link: https://www.econbiz.de/10012176383