Is the relationship between ination and its uncertainty linear?

M. Karanasos () and Stefanie Schurer
Additional contact information
M. Karanasos: Brunel university

No 463, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: We use parametric power ARCH models of the conditional variance of inflation and monthly data in Germany, the Netherlands and Sweden for the period 1962-2004 to examine the relationship between inflation and inflation uncertainty. In two out of the three countries inflation significantly raises inflation uncertainty as predicted by Friedman. Increased nominal uncertainty affects inflation in all countries but not in the same manner. The results for Germany and the Netherlands support the Cukierman-Meltzer hypothesis. In Sweden uncertainty about the future inflation appears to have a negative impact on inflation

Keywords: GARCH-in-mean; In‡ation; Level e¤ect (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2006-07-04
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Is the Relationship between Inflation and Its Uncertainty Linear? (2008)
Journal Article: Is the Relationship between Inflation and Its Uncertainty Linear? (2008)
Working Paper: Is the Relationship Between Inflation and its Uncertainty Linear? (2007)
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:sce:scecfa:463

Access Statistics for this paper

More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().