Nominal Uncertainty and Inflation: The Role of European Union Membership
Kyriakos Neanidis () and
Christos Savva ()
Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The University of Manchester
Using a GARCH model we provide evidence that higher inflation uncertainty leads to higher inflation in the new European Union (EU) member states and candidate countries only prior to EU accession. During EU accession and entry inflation uncertainty has no effect on mean inflation. This result supports the consideration of policy regime shifts in assessing the nominal uncertainty-average inflation relationship.
Pages: 9 pages
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mic, nep-mon and nep-tra
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Journal Article: Nominal uncertainty and inflation: The role of European Union membership (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:man:cgbcrp:146
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