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Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling

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Cited by:

  1. Claudiu T. Albulescu & Aviral Kumar Twari & Stephen M. Miller & Rangan Gupta, 2015. "Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data," Working Papers 201591, University of Pretoria, Department of Economics.
  2. Guglielmo Caporale & Luca Onorante & Paolo Paesani, 2012. "Inflation and inflation uncertainty in the euro area," Empirical Economics, Springer, vol. 43(2), pages 597-615, October.
  3. Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah, 2019. "Dynamic Linkages and Volatility Transmissions between Macroeconomic Uncertainty and Performance: Evidence from South Asian Countries," Journal of South Asian Development, , vol. 14(3), pages 281-313, December.
  4. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2022. "Is Inflation Uncertainty a Self-Fulfilling Prophecy? The Inflation-Inflation Uncertainty Nexus and Inflation Targeting in South Africa," Working Papers 202254, University of Pretoria, Department of Economics.
  5. Zeynel Abidin Ozdemir, 2010. "Dynamics Of Inflation, Output Growth And Their Uncertainty In The Uk: An Empirical Analysis," Manchester School, University of Manchester, vol. 78(6), pages 511-537, December.
  6. Korap, Levent, 2010. "Threshold GARCH modeling of the inflation & inflation uncertainty relationship: historical evidence from the Turkish economy," MPRA Paper 31765, University Library of Munich, Germany.
  7. Andros Gregoriou & Alexandros Kontonikas, 2006. "Inflation Targeting And The Stationarity Of Inflation: New Results From An Estar Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 58(4), pages 309-322, October.
  8. Neil Lawton & Liam A. Gallagher, 2020. "The negative side of inflation targeting: revisiting inflation uncertainty in the EMU," Applied Economics, Taylor & Francis Journals, vol. 52(29), pages 3186-3203, June.
  9. Tsyplakov, Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," MPRA Paper 26908, University Library of Munich, Germany.
  10. WenShwo Fang & Stephen Miller & Chih-Chuan Yeh, 2010. "Does a threshold inflation rate exist? Quantile inferences for inflation and its variability," Empirical Economics, Springer, vol. 39(3), pages 619-641, December.
  11. Svetlana Makarova, 2014. "Risk and Uncertainty: Macroeconomic Perspective," UCL SSEES Economics and Business working paper series 129, UCL School of Slavonic and East European Studies (SSEES).
  12. Gregoriou, Andros & Kontonikas, Alexandros, 2009. "Modeling the behaviour of inflation deviations from the target," Economic Modelling, Elsevier, vol. 26(1), pages 90-95, January.
  13. Bouoiyour, Jamal & Selmi, Refk, 2013. "Nonlinearities and the nexus between inflation and inflation uncertainty in Egypt: New evidence from wavelets transform framework," MPRA Paper 52414, University Library of Munich, Germany.
  14. Levent, Korap, 2009. "Enflasyon ve enflasyon belirsizliği ilişkisi için G7 ekonomileri üzerine bir inceleme [An investigation for the inflation and inflation uncertainty relationship upon the G7 economies]," MPRA Paper 19478, University Library of Munich, Germany.
  15. Brian Piper, 2014. "Factor-Specific Productivity," Working Papers 1401, Sam Houston State University, Department of Economics and International Business.
  16. Ftiti, Zied & Hichri, Walid, 2014. "The price stability under inflation targeting regime: An analysis with a new intermediate approach," Economic Modelling, Elsevier, vol. 38(C), pages 23-32.
  17. Antonio Noriega & Carlos Capistrán & Manuel Ramos-Francia, 2013. "On the dynamics of inflation persistence around the world," Empirical Economics, Springer, vol. 44(3), pages 1243-1265, June.
  18. Chang, Kuang-Liang, 2012. "The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 523-536.
  19. Broto Carmen & Ruiz Esther, 2009. "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
  20. Bhar, Ramprasad & Mallik, Girijasankar, 2010. "Inflation, inflation uncertainty and output growth in the USA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5503-5510.
  21. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  22. Caporale, Guglielmo Maria & Kontonikas, Alexandros, 2009. "The Euro and inflation uncertainty in the European Monetary Union," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 954-971, October.
  23. Abdul Qahar KHATIR & Burcu GÜVENEKAuthor-Name: Fatih MANGIR, 2021. "The Relationship between Inflation and Inflation Uncertainty: Empirical Evidence from Turkey," Journal of Academic Value Studies, Journal of Academic Value Studies, vol. 6(4), pages 331-340, Month: Fe.
  24. Siti Hamizah Mohd & Ahmad Zubaidi Baharumshah & Stilianos Fountas, 2013. "Inflation, Inflation Uncertainty And Output Growth: Recent Evidence From Asean-5 Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 58(04), pages 1-17.
  25. repec:ipg:wpaper:2014-099 is not listed on IDEAS
  26. James Payne, 2009. "Inflation targeting and the inflation-inflation uncertainty relationship: evidence from Thailand," Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 233-238.
  27. Borek Vasicek, 2010. "Monetary Policy Rules and Inflation Processes in Open Emerging Economies," Eastern European Economics, Taylor & Francis Journals, vol. 48(4), pages 36-58, January.
  28. Fuest, Angela & Schmidt, Torsten, 2017. "Inflation expectation uncertainty, inflation and the output gap," Ruhr Economic Papers 673, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  29. Lorna Katusiime, 2018. "Private Sector Credit and Inflation Volatility," Economies, MDPI, vol. 6(2), pages 1-13, April.
  30. Daniela Viorica & Danut Jemna & Carmen Pintilescu & Mircea Asandului, 2014. "The Relationship between Inflation and Inflation Uncertainty. Empirical Evidence for the Newest EU Countries," PLOS ONE, Public Library of Science, vol. 9(3), pages 1-11, March.
  31. Claudiu Tiberiu Albulescu & Cornel Oros, 2020. "Inflation, uncertainty, and labour market conditions in the US," Applied Economics, Taylor & Francis Journals, vol. 52(52), pages 5770-5782, November.
  32. Sajid Amin Javed & Saud Ahmad Khan & Azad Haider & Farzana Shaheen, 2012. "Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 348-356.
  33. Achour Maha & Trabelsi Abdelwahed, 2011. "Markov Switching and State-Space Approaches for Investigating the Link between Egyptian Inflation Level and Uncertainty," Review of Middle East Economics and Finance, De Gruyter, vol. 6(3), pages 46-62, February.
  34. Fernandes, Cecilia Melo, 2021. "ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty," Working Paper Series 2582, European Central Bank.
  35. Nwosa Philip I. & Ehinomen Chris & Ugwu Ephraim, 2020. "Output Volatility and Government Size in Nigeria," Folia Oeconomica Stetinensia, Sciendo, vol. 20(1), pages 286-301, June.
  36. Izz Eddien N. Ananzeh, 2015. "The Relationship between Inflation and its Uncertainty: Evidence from Jordan," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 929-932.
  37. Omotosho, Babatunde S. & Doguwa, Sani I., 2012. "Understanding the dynamics of inflation volatility in Nigeria: A GARCH perspective," MPRA Paper 96125, University Library of Munich, Germany.
  38. Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2018. "Inflation targeting or exchange rate targeting: Which framework supports the goal of price stability in emerging market economies?," PLOS ONE, Public Library of Science, vol. 13(8), pages 1-21, August.
  39. Hachicha, Ahmed & Lean Hooi Hooi, 2013. "Inflation, inflation uncertainty and output in Tunisia," Economics Discussion Papers 2013-1, Kiel Institute for the World Economy (IfW Kiel).
  40. Nasr, Adnen Ben & Balcilar, Mehmet & Ajmi, Ahdi N. & Aye, Goodness C. & Gupta, Rangan & van Eyden, Reneé, 2015. "Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model," Emerging Markets Review, Elsevier, vol. 24(C), pages 46-68.
  41. Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Stephen M. Miller & Rangan Gupta, 2019. "Time–frequency relationship between US inflation and inflation uncertainty: evidence from historical data," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(5), pages 673-702, November.
  42. Christian Bordes & Samuel Maveyraud, 2008. "The Friedman's and Mishkin's Hypotheses (Re)Considered," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308571, HAL.
  43. Conrad, Christian & Hartmann, Matthias, 2014. "Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty," Working Papers 0574, University of Heidelberg, Department of Economics.
  44. Mesbah Fathy Sharaf, 2015. "Inflation and Inflation Uncertainty Revisited: Evidence from Egypt," Economies, MDPI, vol. 3(3), pages 1-19, July.
  45. Tsyplakov Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," EERC Working Paper Series 10/09e, EERC Research Network, Russia and CIS.
  46. Kristin Forbes & Lewis Kirkham & Konstantinos Theodoridis, 2021. "A Trendy Approach to UK Inflation Dynamics," Manchester School, University of Manchester, vol. 89(S1), pages 23-75, September.
  47. Mounir MARZOUGUI, 2016. "L’impact de l’instabilité politique sur la volatilité de l’inflation dans les pays en développement," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 7(1), June.
  48. Rehab OSMAN, 2010. "SADC EPAs with the EU: the Right or a Blight Way for Development," EcoMod2010 259600127, EcoMod.
  49. Siok Kun Sek & Wai Mun Har, 2012. "Does Inflation Targeting Work in Emerging East-Asian Economies?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(5), pages 599-608, December.
  50. Alexandros Kontonikas & Alberto Montagnoli & Nicola Spagnolo, 2006. "Stock Returns and Inflation: The Impact of Inflation Targeting," Working Papers 2005_11, Business School - Economics, University of Glasgow.
  51. Bedri Kamil Onur Taş, 2012. "Inflation Targeting and Inflation Uncertainty," Scottish Journal of Political Economy, Scottish Economic Society, vol. 59(3), pages 283-297, July.
  52. Kushal Banik Chowdhury & Srikanta Kundu & Nityananda Sarkar, 2018. "Regime‐dependent effects of uncertainty on inflation and output growth: evidence from the United Kingdom and the United States," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(4), pages 390-413, September.
  53. David Fielding, 2008. "Inflation Volatility and Economic Development: Evidence from Nigeria," Working Papers 0807, University of Otago, Department of Economics, revised Sep 2008.
  54. Kushal Banik Chowdhury & Kaustav Kanti Sarkar & Srikanta Kundu, 2021. "Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model," Bulletin of Economic Research, Wiley Blackwell, vol. 73(3), pages 469-493, July.
  55. Mehdi Hajamini, 2019. "Asymmetric Causality Between Inflation and Uncertainty: Evidences from 33 Developed and Developing Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 287-309, June.
  56. Kushal Banik Chowdhury & Nityananda Sarkar, 2015. "The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 34-50, April.
  57. Levent KORAP, 2009. "On the links between inflation, output growth and uncertainty: System-GARCH evidence from the Turkish economy," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 24(285), pages 89-110.
  58. da Silva Filho, Tito Nícias Teixeira, 2005. "Is there too much certainty when measuring uncertainty," MPRA Paper 16383, University Library of Munich, Germany.
  59. Bedri Kamil Onur Tas & Hasan Murat Ertugrul, 2013. "Effect of Inflation Targeting on Inflation Uncertainty: A SWARCH Analysis," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 46(4), pages 444-459, December.
  60. Hermann Sintim-Aboagye & Chandana Chakraborty & Serapio Byekwaso, 2012. "Uncertainty of inflation and inflation rate: Does credibility of inflation policy matter?," Economic Issues Journal Articles, Economic Issues, vol. 17(2), pages 95-110, September.
  61. Florence Barugahara, 2015. "The Impact of Political Instability on Inflation Volatility in Africa," South African Journal of Economics, Economic Society of South Africa, vol. 83(1), pages 56-73, March.
  62. Guglielmo maria Coporale & Alexandros Kontonikas, 2006. "The EURO and Inflation Uncertainty In The EMU," Working Papers 2005_13, Business School - Economics, University of Glasgow.
  63. Ramprasad Bhar & Girijasankar Mallik, 2013. "Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK," Empirical Economics, Springer, vol. 45(3), pages 1333-1350, December.
  64. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Inflation fan charts, monetary policy and skew normal distribution," Discussion Papers in Economics 13/06, Division of Economics, School of Business, University of Leicester.
  65. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
  66. Chen, Li-Ju & Hu, Shih-Wen & Wang, Vey & Wen, Jiandong & Ye, Chusheng, 2014. "The effects of purchasing and price subsidy policies for agricultural products under target zones," Economic Modelling, Elsevier, vol. 43(C), pages 439-447.
  67. Zied Ftiti & Khaled Guesmi & Nguyen & Fr餩ric Teulon, 2015. "Modelling inflation shifts and persistence in Tunisia: perspectives from an evolutionary spectral approach," Applied Economics, Taylor & Francis Journals, vol. 47(57), pages 6200-6210, December.
  68. Chih-Chuan Yeh & Kuan-Min Wang & Yu-Bo Suen, 2011. "A quantile framework for analysing the links between inflation uncertainty and inflation dynamics across countries," Applied Economics, Taylor & Francis Journals, vol. 43(20), pages 2593-2602.
  69. Kushal Banik Chowdhury & Nityananda Sarkar, 2019. "Regime Dependent Effect Of Output Growth On Output Growth Uncertainty: Evidence From Oecd Countries," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 257-282, July.
  70. Pattnaik, Debidutta & Kumar, Satish & Burton, Bruce & Lim, Weng Marc, 2022. "Economic Modelling at thirty-five: A retrospective bibliometric survey," Economic Modelling, Elsevier, vol. 107(C).
  71. Miles, William, 2008. "Inflation targeting and monetary policy in Canada: What is the impact on inflation uncertainty?," The North American Journal of Economics and Finance, Elsevier, vol. 19(2), pages 235-248, August.
  72. Tariq A.H. Al-Zuhd & Mohammad H. Saleh, 2017. "Inflation and Inflation Uncertainty Nexus in Kuwait: A GARCH Modeling Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 198-203.
  73. Sintim-Aboagye, Hermann, 2013. "Imf And World Bank Economic Programs On Inflation: Relevance To Nepad," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 9(1-2), January.
  74. Chaouech, Olfa, 2012. "La politique de ciblage d'inflation: fondements théoriques et validation empirique [The inflation targeting policy: theoretical and empirical validation]," MPRA Paper 60760, University Library of Munich, Germany, revised 19 Dec 2014.
  75. B. Balaji & S. Raja Sethu Durai & M. Ramachandran, 2016. "The Dynamics Between Inflation and Inflation Uncertainty: Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(1), pages 1-14, June.
  76. Muhammad Jamil & Erich W. Streissler & Robert M. Kunst, 2012. "Exchange Rate Volatility and its Impact on Industrial Production, Before and After the Introduction of Common Currency in Europe," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 85-109.
  77. Georgios Bampinas & Panagiotis Konstantinou & Theodore Panagiotidis, 2021. "Reassessing the inflation uncertainty‐inflation relationship in the tails," Bulletin of Economic Research, Wiley Blackwell, vol. 73(4), pages 508-534, October.
  78. Akhand Akhtar Hossain & Popkarn Arwatchanakarn, 2016. "Inflation and inflation volatility in Thailand," Applied Economics, Taylor & Francis Journals, vol. 48(30), pages 2792-2806, June.
  79. Korap, Levent & Saatçioğlu, Cem, 2009. "New time series evidence for the causality relationship between inflation and inflation uncertainty in the Turkish economy," MPRA Paper 19246, University Library of Munich, Germany.
  80. Hassan Heidari & Salih Turan Katircioglu & Sahar Bashiri, 2013. "Inflation, inflation uncertainty and growth in the Iranian economy: an application of BGARCH-M model with BEKK approach," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 14(5), pages 819-832, November.
  81. Andros Gregoriou & Alexandros Kontonikas, 2005. "Modeling The Non-Linear Behaviour of Inflation Deviations From The Target," Working Papers 2005_12, Business School - Economics, University of Glasgow.
  82. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2013. "Asymmetric and Time-Varying Causality between Inflation and Inflation Uncertainty in G-7 Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 1-42, February.
  83. Harold Glenn A. Valera & Mark J. Holmes & Gazi M. Hassan, 2018. "Is inflation targeting credible in Asia? A panel GARCH approach," Empirical Economics, Springer, vol. 54(2), pages 523-546, March.
  84. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
  85. Jiranyakul, Komain, 2020. "The Linkages between Inflation and Inflation Uncertainty in Selected Asian Economies: Evidence from Quantile Regression," MPRA Paper 99868, University Library of Munich, Germany.
  86. David Fielding, 2010. "Non-monetary Determinants of Inflation Volatility: Evidence from Nigeria," Journal of African Economies, Centre for the Study of African Economies, vol. 19(1), pages 111-139, January.
  87. Shesadri Banerjee, 2017. "Empirical Regularities of Inflation Volatility: Evidence from Advanced and Developing Countries," South Asian Journal of Macroeconomics and Public Finance, , vol. 6(1), pages 133-156, June.
  88. Buth, Bora & Kakinaka, Makoto & Miyamoto, Hiroaki, 2015. "Inflation and inflation uncertainty: The case of Cambodia, Lao PDR, and Vietnam," Journal of Asian Economics, Elsevier, vol. 38(C), pages 31-43.
  89. Ahmad Zubaidi Baharumshah & Akram Hasanov & Stilianos Fountas, 2011. "Inflation and inflation uncertainty: Evidence from two Transition Economies," Discussion Paper Series 2011_05, Department of Economics, University of Macedonia, revised Apr 2011.
  90. Yingying Xu & Zhi-Xin Liu & Hsu-Ling Chang & Adelina Dumitrescu Peculea & Chi-Wei Su, 2017. "Does self-fulfilment of the inflation expectation exist?," Applied Economics, Taylor & Francis Journals, vol. 49(11), pages 1098-1113, March.
  91. James Payne, 2009. "Official dollarization in El Salvador and the inflation-inflation uncertainty nexus," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1195-1199.
  92. Raihan, Tasneem, 2017. "Performance of Markov-Switching GARCH Model Forecasting Inflation Uncertainty," MPRA Paper 82343, University Library of Munich, Germany.
  93. Ahmad Zubaidi Baharumshah & Siew-Voon Soon, 2014. "Inflation, inflation uncertainty and output growth: what does the data say for Malaysia?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(3), pages 370-386, May.
  94. Mounir MARZOUGUI, 2016. "L’impact de l’instabilité politique sur la volatilité de l’inflation dans les pays en développement," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 7(1), June.
  95. Hartmann, Matthias & Roestel, Jan, 2013. "Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 98-112.
  96. Hakan Berument & Zubeyir Kilinc & Umit Ozlale, 2005. "The Missing Link Between Inflation Uncertainty And Interest Rates," Scottish Journal of Political Economy, Scottish Economic Society, vol. 52(2), pages 222-241, May.
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