Advanced Search
MyIDEAS: Login

High and Uncertain Inflation: Results from a New Data Set

Contents:

Author Info

  • Davis, George
  • Kanago, Bryce

Abstract

The authors use a data set of inflation expectations that covers twenty years and forty-four countries to investigate the relationship between the level and uncertainty of inflation. While there is strong and robust evidence of a relationship between average inflation and average uncertainty across countries, there is little evidence in their data for a within country relationship. In particular, very few of the countries in the sample exhibit a relationship between lagged inflation and future uncertainty. This result holds even when the authors use a bootstrapping technique that is robust to small sample size and heteroscedasticity.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 30 (1998)
Issue (Month): 2 (May)
Pages: 218-30

as in new window
Handle: RePEc:mcb:jmoncb:v:30:y:1998:i:2:p:218-30

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. 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.
  2. Jonung, Lars & Laidler, David E, 1988. "Are Perceptions of Inflation Rational? Some Evidence for Sweden," American Economic Review, American Economic Association, vol. 78(5), pages 1080-87, December.
  3. Paquet, Alain, 1992. "Inflationary expectations and rationality," Economics Letters, Elsevier, vol. 40(3), pages 303-308, November.
  4. Glezakos, Constantine & Nugent, Jeffrey B., 1984. "Price instability and inflation: The Latin American case," World Development, Elsevier, vol. 12(7), pages 755-758, July.
  5. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  6. 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.
  7. Davis, George & Kanago, Bryce, 1996. "On Measuring the Effect of Inflation Uncertainty on Real GNP Growth," Oxford Economic Papers, Oxford University Press, vol. 48(1), pages 163-75, January.
  8. Gramlich, Edward M, 1983. "Models of Inflation Expectations Formation: A Comparison of Household and Economist Forecasts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(2), pages 155-73, May.
  9. Bryan, Michael F & Gavin, William T, 1986. "Models of Inflation Expectations Formation: A Comparison of Household and Economist Forecasts: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(4), pages 539-44, November.
  10. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  11. Smyth, David J., 1992. "Measurement errors in survey forecasts of expected inflation and the rationality of inflation expectations," Journal of Macroeconomics, Elsevier, vol. 14(3), pages 439-448.
  12. Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August.
  13. John A. Carlson, 1977. "A Study of Price Forecasts," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 1, pages 27-56 National Bureau of Economic Research, Inc.
  14. Katsimbris, George M, 1985. "The Relationship between the Inflation Rate, Its Variability, and Output Growth Variability: Disaggregated International Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(2), pages 179-88, May.
  15. 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.
  16. Mauro, Paolo, 1995. "Corruption and Growth," The Quarterly Journal of Economics, MIT Press, vol. 110(3), pages 681-712, August.
  17. Holland, A Steven, 1986. "Wage Indexation and the Effect of Inflation Uncertainty on Employment:An Empirical Analysis," American Economic Review, American Economic Association, vol. 76(1), pages 235-43, March.
  18. 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.
  19. Zarnowitz, Victor & Lambros, Louis A, 1987. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June.
  20. Darrat, Ali F. & Lopez, Franklin A., 1988. "Price instability and inflation : Some tests based on rational expectations models," Economics Letters, Elsevier, vol. 26(2), pages 111-119.
  21. Gregory D. Hess & Charles S. Morris, 1996. "The long-run costs of moderate inflation," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 71-88.
  22. Victor Zarnowitz & Louis A. Lambros, 1983. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc.
  23. Pagan, A R & Hall, A D & Trivedi, P K, 1983. "Assessing the Variability of Inflation," Review of Economic Studies, Wiley Blackwell, vol. 50(4), pages 585-96, October.
  24. Hafer, R. W. & Heyne-Hafer, Gail, 1981. "The relationship between inflation and its variability: International evidence from the 1970s," Journal of Macroeconomics, Elsevier, vol. 3(4), pages 571-577.
  25. Edmonds, Radcliffe Jr. & So, Jacky C., 1993. "Variability and inflation: Evidence from developed and developing countries," Journal of Macroeconomics, Elsevier, vol. 15(4), pages 679-708.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Davis, George K & Kanago, Bryce E, 2000. "The Level and Uncertainty of Inflation: Results from OECD Forecasts," Economic Inquiry, Western Economic Association International, vol. 38(1), pages 58-72, January.
  2. David Fielding, 2010. "Non-monetary Determinants of Inflation Volatility: Evidence from Nigeria," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 19(1), pages 111-139, January.
  3. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
  4. Tsong, Ching-Chuan & Lee, Cheng-Feng, 2011. "Asymmetric inflation dynamics: Evidence from quantile regression analysis," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 668-680.
  5. Jordi Pons-Novell, 2003. "Strategic bias, herding behaviour and economic forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 67-77.
  6. David Fielding, 2008. "Inflation Volatility and Economic Development: Evidence from Nigeria," Working Papers 0807, University of Otago, Department of Economics, revised Sep 2008.
  7. Eric Schaling & Marco Hoeberichts & Sylvester Eijffinger, 1998. "Incentive schemes for central bankers under uncertainty: inflation targets versus contracts," Bank of England working papers 88, Bank of England.
  8. WenShwo Fang & Stephen M. Miller & Chih-Chuan Yeh, 2009. "Does a Threshold Inflation Rate Exist? Quantile Inferences for Inflation and Its Variability," Working Papers 0921, University of Nevada, Las Vegas , Department of Economics, revised Dec 2009.
  9. Sharon Kozicki & Barak Hoffman, 1999. "Implications of rounding and rebasing for empirical analysis using consumer price inflation," Research Working Paper 99-08, Federal Reserve Bank of Kansas City.
  10. Tsyplakov, Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," MPRA Paper 26908, University Library of Munich, Germany.
  11. Haider, Adnan & Din, Musleh ud & Ghani, Ejaz, 2011. "Consequences of Political Instability, Governance and Bureaucratic Corruption on Inflation and Growth: The Case of Pakistan," MPRA Paper 35584, University Library of Munich, Germany.
  12. Tsyplakov Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," EERC Working Paper Series 10/09e, EERC Research Network, Russia and CIS.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:30:y:1998:i:2:p:218-30. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.