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High and Uncertain Inflation: Results from a New Data Set

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  • 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.

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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

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Handle: RePEc:mcb:jmoncb:v:30:y:1998:i:2:p:218-30

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

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References

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Citations

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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. Jordi Pons-Novell, 2003. "Strategic bias, herding behaviour and economic forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 67-77.
  7. 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.
  8. 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.
  9. Adnan Haider & Musleh ud Din & Ejaz Ghani, 2011. "Consequences of Political Instability, Governance and Bureaucratic Corruption on Inflation and Growth: The Case of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 773-807.
  10. Tsyplakov, Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," MPRA Paper 26908, University Library of Munich, Germany.
  11. David Fielding, 2008. "Inflation Volatility and Economic Development: Evidence from Nigeria," Working Papers 0807, University of Otago, Department of Economics, revised Sep 2008.
  12. 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.

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