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Inflation Volatility and the Inflation-Growth Tradeoff in India

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  • Raghbendra Jha
  • Varsha S. Kulkarni

Abstract

This paper amends the New Keynesian Phillips curve model to include inflation volatility and tests the determinants of such volatility for India. It provides results on the determinants of inflation volatility and expected inflation volatility for OLS and ARDL (1,1) models and for change in inflation volatility and change in expected inflation volatility using ECM models. Output gap affects change in expected inflation volatility along (in the ECM model) and not in the other models. Major determinants of inflation volatility and expected inflation volatility are identified.

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File URL: http://cama.crawford.anu.edu.au/pdf/working-papers/2012/542012.pdf
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Bibliographic Info

Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2012-54.

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Length: 19 pages
Date of creation: Dec 2012
Date of revision:
Handle: RePEc:een:camaaa:2012-54

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Keywords: Inflation; Inflation volatility; ARDL model; ECM model; Output gap; India;

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  1. Sophocles N. Brissimis & Nicholas S. Magginas, 2006. "Inflation Forecasts and the New Keynesian Phillips Curve," Working Papers, Bank of Greece 38, Bank of Greece.
  2. John Duffy & Wei Xiao, 2007. "Investment and Monetary Policy: Learning and Determinacy of Equilibrium," Working Papers, University of Pittsburgh, Department of Economics 324, University of Pittsburgh, Department of Economics, revised Aug 2008.
  3. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, Elsevier, vol. 12(3), pages 383-398, September.
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