Causal relations between inflation and inflation uncertainty—Cross sectional evidence in favour of the Friedman–Ball hypothesis

Matthias Hartmann () and Helmut Herwartz

Economics Letters, 2012, vol. 115, issue 2, 144-147

Abstract: We test for causality between inflation and its associated uncertainty by means of both in-sample and out-of-sample modelling. Our findings indicate that the impact of inflation on inflation uncertainty is more pronounced than the reverse causal effect.

Keywords: Inflation uncertainty; Inflation forecasting; Granger causality (search for similar items in EconPapers)
JEL-codes: C52 C53 E37 E52 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:2:p:144-147

DOI: 10.1016/j.econlet.2011.12.036

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