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Inflation Volatility and the Inflation-Growth Tradeoff in India

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  • Raghbendra Jha

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  • Varsha S. Kulkarni

Abstract

This paper extends 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 (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: https://crawford.anu.edu.au/acde/asarc/pdf/papers/2012/WP2012_11.pdf
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Bibliographic Info

Paper provided by The Australian National University, Australia South Asia Research Centre in its series ASARC Working Papers with number 2012-11.

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Length: 13
Date of creation: 2012
Date of revision:
Handle: RePEc:pas:asarcc:2012-11

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

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  1. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  2. Sophocles N. Brissimis & Nicholas S. Magginas, 2008. "Inflation Forecasts and the New Keynesian Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 1-22, June.
  3. John Duffy & Wei Xiao, 2011. "Investment and Monetary Policy: Learning and Determinacy of Equilibrium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 959-992, 08.
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