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Re-examining inflation and inflation uncertainty in developed and emerging countries

Elton Daal, Atsuyuki Naka and Benito Sanchez
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Elton Daal: University of New Orleans
Atsuyuki Naka: University of New Orleans
Benito Sanchez: University of New Orleans

No 2004-06, Working Papers from University of New Orleans, Department of Economics and Finance

Abstract: This study examines the relationship between inflation and inflation uncertainty for both developed and emerging countries using the asymmetric power GARCH model. We find new evidence that suggests that positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries. We also find that inflation causes inflation uncertainty for most countries but the evidence for causality of the opposite direction is mixed.

Keywords: Inflation; Emerging nations; Latin America (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cwa, nep-mac, nep-mon and nep-sea
Date: 2004
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Handle: RePEc:uno:wpaper:2004-06