Inflation, its Volatility and the Inflation-Growth Tradeoff in India

Raghbendra Jha and Varsha S. Kulkarni

ASARC Working Papers from The Australian National University, Australia South Asia Research Centre

Abstract: This paper amends the New Keynesian Phillips curve model to include inflation volatility. It provides results on the determinants of inflation volatility and expected inflation volatility for OLS and ARDL(1,1) models and for change in inflation volatility and change in expected inflation volatility using ECM models. Output gap affects change in expected inflation volatility alone (in the ECM model) and not in the other models. Major determinants of inflation volatility and expected inflation volatility are identified. To the best of our knowledge this is the first paper to augment the New Keynesian Phillips Curve to include inflation volatility.

Keywords: Inflation; Inflation volatility; ARDL model; ECM model; Output gap; India (search for similar items in EconPapers)
JEL-codes: E31 E32 E42 E44 (search for similar items in EconPapers)
Pages: 15
Date: 2013
New Economics Papers: this item is included in nep-mac and nep-mon
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Journal Article: Inflation, its volatility and the inflation-growth tradeoff in India (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pas:asarcc:2013-06

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