A great of deal of study has explored the relationship between inflation and inflation uncertainty under the … distribution specification and regime shifts will affect the inflation-uncertainty relationship. Empirical results show that these … two factors have a vital effect on the inflation-uncertainty relationship. A specification with four states and the …

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 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 …

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 …

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 …

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 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 …