This paper investigates the well-known hypothesis that the higher the rate of inflation, the higher is price uncertainty. Regressions with heteroskedastic errors are applied in order to model inflationary uncertainty in the Russian economy and to study its possible link with inflation. Using monthly data for Russia, some weak evidence of this link was found. Furthermore, Russian experience with respect to the level and uncertainty of inflation was compared with that of other countries. This study confirms that a strong relationship between inflation and uncertainty in the cross-country data does exist. The conclusion is that the Russian experience in this respect fits well with the world experience.
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Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number
2k-06e.
Length: 33 pages Date of creation: 30 Mar 2001 Date of revision: Handle: RePEc:eer:wpalle:2k-06e
Contact details of provider: Postal: EERC Research Network, Russia and CIS, 47, Nakhimovsky pr-t, suite 919, Moscow, 117418 Russia Phone: +7(095)332-4415 Fax: +1(202)478-1968 Web page: http://www.eerc.ru
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Find related papers by JEL classification: E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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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.:
Driffill, John & Mizon, Grayham E. & Ulph, Alistair, 1990.
"Costs of inflation,"
Handbook of Monetary Economics,
in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 2, chapter 19, pages 1013-1066
Elsevier.
[Downloadable!] (restricted)
Other versions:
Driffill, John & Mizon, Grayham Ernest & Ulph, Alistair Mitchell, 1989.
"Costs of Inflation,"
CEPR Discussion Papers
293, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)