The links between inflation and inflation uncertainty at the longer horizon

Alexander Tsyplakov

EERC Working Paper Series from EERC Research Network, Russia and CIS

Abstract: In this paper I examine the Okun-Friedman hypothesis of the link between inflation and inflation uncertainty using historical international data on the monthly CPI. An indicator of inflation uncertainty at the two-years-ahead horizon is derived from a time-series model of inflation with time-varying parameters by means of Monte-Carlo simulations. This indicator is compared to other uncertainty measures, with the short forecast horizon and based on simpler GARCH-type models. The analysis convincingly demonstrates that both the longer horizon and changing parameters are important for the regularity. The evidence obtained strongly supports the Okun-Friedman hypothesis both in the time dimension for most countries and across countires.

JEL-codes: C22 C29 C32 E31 E52 (search for similar items in EconPapers)
Date: 2010-11-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://eercnetwork.com/default/download/creater/w ... e775cd52ffea0b21.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eer:wpalle:10/09e

Ordering information: This working paper can be ordered from
EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine
https://eercnetwork.com/paper

Access Statistics for this paper

More papers in EERC Working Paper Series from EERC Research Network, Russia and CIS EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine.
Bibliographic data for series maintained by Anton Pashchenko ().