Daal, Elton (University of New Orleans) Naka, Atsuyuki (University of New Orleans) Sanchez, Benito (University of New Orleans)
Abstract
This study examines the relationship between inflation and inflation uncertainty for both developed and emerging countries using the asymmetric power GARCH model. We find new evidence that suggests that positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries. We also find that inflation causes inflation uncertainty for most countries but the evidence for causality of the opposite direction is mixed.
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Publisher Info
Paper provided by University of New Orleans, Department of Economics and Finance in its series Working Papers with number
2004-06.
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