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On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: A long memory approach

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  • Abidin Ozdemir, Zeynel
  • Fisunoglu, Mahir

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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 17 (2008)
Issue (Month): 1 ()
Pages: 1-12

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Handle: RePEc:eee:reveco:v:17:y:2008:i:1:p:1-12

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Web page: http://www.elsevier.com/locate/inca/620165

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References

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  1. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, vol. 5(01), pages 95-131, April.
  2. Pourgerami, Abbas & Maskus, Keith E., 1987. "The effects of inflation on the predictability of price changes in Latin America: Some estimates and policy implications," World Development, Elsevier, vol. 15(2), pages 287-290, February.
  3. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
  4. Stilianos Fountas & Alexandra Ioannidis & Menelaos Karanasos, 2004. "Inflation, inflation uncertainty, and a common European Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2003 30, Money Macro and Finance Research Group.
  5. Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," NBER Working Papers 7147, National Bureau of Economic Research, Inc.
  6. Friedman, Milton, 1977. "Nobel Lecture: Inflation and Unemployment," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 451-72, June.
  7. Ooms, M. & Doornik, J.A., 1999. "Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation," Econometric Institute Research Papers EI 9947/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  8. Laurence Ball, 1990. "Why Does High Inflation Raise Inflation Uncertainty?," NBER Working Papers 3224, National Bureau of Economic Research, Inc.
  9. Mehmet Balcilar, 2004. "Persistence in Inflation: Does Aggregation Cause Long Memory?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 40(5), pages 25-56, September.
  10. Cukierman, Alex & Meltzer, Allan H, 1986. "A Theory of Ambiguity, Credibility, and Inflation under Discretion and Asymmetric Information," Econometrica, Econometric Society, vol. 54(5), pages 1099-1128, September.
  11. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  12. Zapata, Hector O. & Rambaldi, Alicia N., 1996. "Monte Carlo Evidence On Cointegration And Causation," Staff Papers 31690, Louisiana State University, Department of Agricultural Economics and Agribusiness.
  13. Christopher F. Baum & John Barkoulas & Mustafa Caglayan, 1996. "Persistence in International Inflation Rates," Boston College Working Papers in Economics 333., Boston College Department of Economics.
  14. Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February.
  15. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  16. Ungar, Meyer & Zilberfarb, Ben-Zion, 1993. "Inflation and Its Unpredictability--Theory and Empirical Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 709-20, November.
  17. Barro, Robert J & Gordon, David B, 1983. "A Positive Theory of Monetary Policy in a Natural Rate Model," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 589-610, August.
  18. Hwang, Y., 2001. "Relationship between inflation rate and inflation uncertainty," Economics Letters, Elsevier, vol. 73(2), pages 179-186, November.
  19. Brunner, Allan D & Hess, Gregory D, 1993. "Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 187-97, April.
  20. Berument, Hakan, 1999. "The Impact of Inflation Uncertainty on Interest Rates in the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 46(2), pages 207-18, May.
  21. Laurent, Sebastien & Peters, Jean-Philippe, 2002. " G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 447-85, July.
  22. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
  23. Grier, Kevin B. & Perry, Mark J., 1998. "On inflation and inflation uncertainty in the G7 countries," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 671-689, August.
  24. Holland, A Steven, 1995. "Inflation and Uncertainty: Tests for Temporal Ordering," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 827-37, August.
  25. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
  26. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
  27. Tsay, Wen-Jen & Chung, Ching-Fan, 2000. "The spurious regression of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 155-182, May.
  28. Caporale, Tony & McKiernan, Barbara, 1997. "High and variable inflation: Further evidence on the Friedman hypothesis," Economics Letters, Elsevier, vol. 54(1), pages 65-68, January.
  29. Conrad, C. & Karanasos, M., 2005. "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach," Japan and the World Economy, Elsevier, vol. 17(3), pages 327-343, August.
  30. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  31. Richard T. Baillie & Young Wook Han & Tae-Go Kwon, 2002. "Further Long Memory Properties of Inflationary Shocks," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 496-510, January.
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Cited by:
  1. WenShwo Fang & Stephen Miller & Chih-Chuan Yeh, 2010. "Does a threshold inflation rate exist? Quantile inferences for inflation and its variability," Empirical Economics, Springer, vol. 39(3), pages 619-641, December.
  2. Sajid Amin Javed & Saud Ahmad Khan & Azad Haider & Farzana Shaheen, 2012. "Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 348-356.

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