Does Lower Inflation Imply Lower Price Uncertainty?
EERC Working Paper Series from EERC Research Network, Russia and CIS
This paper investigates the well-known hypothesis that the higher the rate of inflation, the higher is price uncertainty. Regressions with heteroskedastic errors are applied in order to model inflationary uncertainty in the Russian economy and to study its possible link with inflation. Using monthly data for Russia, some weak evidence of this link was found. Furthermore, Russian experience with respect to the level and uncertainty of inflation was compared with that of other countries. This study confirms that a strong relationship between inflation and uncertainty in the cross-country data does exist. The conclusion is that the Russian experience in this respect fits well with the world experience.
Pages: 31 pages
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