Does Lower Inflation Imply Lower Price Uncertainty?
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Abstract
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.Download Info
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Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 2k-06e.
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Length: 33 pages
Date of creation: 30 Mar 2001
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Handle: RePEc:eer:wpalle:2k-06e
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Related research
Keywords: Russia; inflation; inflation uncertainty; GARCH;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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-09-10 (All new papers)
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