Inflation and Inflation Uncertainty in Latvia
AbstractThe paper considers interrelation between inflation and inflation uncertainty in Latvia. The monthly growth in CPI in the period from January 1994 to June 2007 has been used as an inflation measure. The application of the GARCH-M model with lagged inflation in GARCH equation proves that a positive relationship between inflation and inflation uncertainty does exist. It suggests that increased inflation uncertainty raises inflation, and, vice versa, increased inflation is a cause for higher uncertainty about inflation in the future.
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Bibliographic InfoPaper provided by Latvijas Banka in its series Working Papers with number 2007/04.
Date of creation: 21 Nov 2007
Date of revision:
inflation; inflation uncertainty; GARCH–M;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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