Re-examining inflation and inflation uncertainty in developed and emerging countries
AbstractThis 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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Bibliographic InfoPaper provided by University of New Orleans, Department of Economics and Finance in its series Working Papers with number 2004-06.
Length: 14 pages
Date of creation: 2004
Date of revision:
Inflation; Emerging nations; Latin America;
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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-03 (All new papers)
- NEP-CWA-2005-04-03 (Central & Western Asia)
- NEP-MAC-2005-04-03 (Macroeconomics)
- NEP-MON-2005-04-03 (Monetary Economics)
- NEP-SEA-2005-04-03 (South East Asia)
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