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Discovering the Link between Inflation Rates and Inflation Uncertainty

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Cited by:

  1. 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.
  2. Carlos Fernández, 2001. "Further Evidence on Friedman's Hypothesis," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 257-273.
  3. Berument, Hakan & Kilinc, Zubeyir & Ozlale, Umit, 2004. "The effects of different inflation risk premiums on interest rate spreads," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 317-324.
  4. Jiranyakul, Komain & Opiela, Timothy P., 2010. "Inflation and inflation uncertainty in the ASEAN-5 economies," Journal of Asian Economics, Elsevier, vol. 21(2), pages 105-112, April.
  5. Don H. Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.).
  6. Alejandro Rodriguez & Esther Ruiz, 2009. "Bootstrap prediction intervals in state–space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 167-178, March.
  7. Hwang, Y., 2007. "Causality between inflation and real growth," Economics Letters, Elsevier, vol. 94(1), pages 146-153, January.
  8. Tsyplakov, Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," MPRA Paper 26908, University Library of Munich, Germany.
  9. 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.
  10. Bredin, Don & Fountas, Stilianos, 2018. "US inflation and inflation uncertainty over 200 years," Financial History Review, Cambridge University Press, vol. 25(2), pages 141-159, August.
  11. Mübariz Hasanov & Tolga Omay, 2011. "The Relationship Between Inflation, Output Growth, and Their Uncertainties: Evidence from Selected CEE Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 5-20, July.
  12. 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.
  13. 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.
  14. Ciżkowicz, Piotr & Rzońca, Andrzej, 2010. "Inflation and corporate investment in selected OECD countries in the years 1960-2005 – an empirical analysis," MPRA Paper 29846, University Library of Munich, Germany.
  15. Tommasi, Mariano, 1996. "Inflation and the Informativeness of Prices: Microeconomic Evidence from High Inflation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 16(2), November.
  16. 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.
  17. 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.
  18. Mamadou Abdoulaye KONTE & Cheikh Tidiane NDIAYE, 2012. "Incertitude de l'inflation et croissance économique : le cas de l'UEMOA," LEO Working Papers / DR LEO 753, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  19. Christian Grimme & Steffen Henzel & Elisabeth Wieland, 2014. "Inflation uncertainty revisited: a proposal for robust measurement," Empirical Economics, Springer, vol. 47(4), pages 1497-1523, December.
  20. Silvia Sgherri & Tamim Bayoumi, 2004. "Monetary Magic? How the Fed Improved the Supply Side of the Economy," Econometric Society 2004 Australasian Meetings 20, Econometric Society.
  21. Karen K. Lewis & Martin D. Evans, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," NBER Working Papers 4134, National Bureau of Economic Research, Inc.
  22. 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.
  23. 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.
  24. Duca, John V. & Vanhoose, David D., 1998. "The Rise of Goods-Market Competition and the Decline in Wage Indexation: A Macroeconomic Approach," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 579-598, July.
  25. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, "undated". "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Discussion Papers 00/24, Department of Economics, University of York.
  26. Kuang‐Liang Chang & Chi‐Wei He, 2010. "Does The Magnitude Of The Effect Of Inflation Uncertainty On Output Growth Depend On The Level Of Inflation?," Manchester School, University of Manchester, vol. 78(2), pages 126-148, March.
  27. Berument, Hakan & Yalcin, Yeliz & Yildirim, Julide, 2009. "The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework," Economic Modelling, Elsevier, vol. 26(6), pages 1201-1207, November.
  28. 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.
  29. Kenneth S. Rogoff, 2003. "Globalization and global disinflation," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 77-112.
  30. Barnett William A. & Jawadi Fredj & Ftiti Zied, 2020. "Causal relationships between inflation and inflation uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-26, December.
  31. 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.
  32. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú.
  33. Lorenzo, Fernando & Ruiz Ortega, Esther, 1997. "Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional," DES - Documentos de Trabajo. Estadística y Econometría. DS 3648, Universidad Carlos III de Madrid. Departamento de Estadística.
  34. Kajal Lahiri & Fushang Liu, 2006. "ARCH Models for Multi-period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 321-363, Emerald Group Publishing Limited.
  35. Davtyan Azat, 2014. "GMM Estimation and Shapiro-Francia Normality Test: A Case Study of CEE Economies," International Journal of Economic Sciences, Prague University of Economics and Business, vol. 2014(1), pages 12-26.
  36. 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).
  37. Ciżkowicz, Piotr & Rzońca, Andrzej, 2013. "Does inflation harm corporate investment? Empirical evidence from OECD countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 7, pages 1-38.
  38. Steven Holland, 1994. "Inflation and Wage Indexation in the Postwar U.S," Macroeconomics 9402001, University Library of Munich, Germany.
  39. Burak Alparslan Eroğlu & J. Isaac Miller & Taner Yiğit, 2022. "Time-varying cointegration and the Kalman filter," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 1-21, January.
  40. 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.
  41. Barak Hoffman & Sharon Kozicki, 1999. "Implications of rounding and rebasing for empirical analysis using consumer price inflation," Research Working Paper 99-08, Federal Reserve Bank of Kansas City.
  42. 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.
  43. Eijffinger, Sylvester & Schaling, Eric & Hoeberichts, Marco, 1998. "Central bank independence: A sensitivity analysis," European Journal of Political Economy, Elsevier, vol. 14(1), pages 73-88, February.
  44. Alexander Tsyplakov, 2011. "An introduction to state space modeling (in Russian)," Quantile, Quantile, issue 9, pages 1-24, July.
  45. Broto, Carmen & Ruiz Ortega, Esther, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.
  46. Thomas Mayer, 1998. "Indexed Bonds And Heterogeneous Agents," Contemporary Economic Policy, Western Economic Association International, vol. 16(1), pages 77-84, January.
  47. Wu, Jyh-Lin & Chen, Show-Lin & Lee, Hsiu-Yun, 2003. "Sources of inflation uncertainty and real economic activity," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 397-409, September.
  48. Telatar, Erdinc & Telatar, Funda & Ratti, Ronald A., 2003. "On the predictive power of the term structure of interest rates for future inflation changes in the presence of political instability: the Turkish economy," Journal of Policy Modeling, Elsevier, vol. 25(9), pages 931-946, December.
  49. Fountas, Stilianos, 2001. "The relationship between inflation and inflation uncertainty in the UK: 1885-1998," Economics Letters, Elsevier, vol. 74(1), pages 77-83, December.
  50. 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.
  51. Sebastiano Manzan & Dawit Zerom, 2015. "Asymmetric Quantile Persistence and Predictability: the Case of US Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(2), pages 297-318, April.
  52. Byrne, Joseph P. & Davis, E. Philip, 2004. "Permanent and temporary inflation uncertainty and investment in the United States," Economics Letters, Elsevier, vol. 85(2), pages 271-277, November.
  53. M. Berument & Yeliz Yalcin & Julide Yildirim, 2011. "The inflation and inflation uncertainty relationship for Turkey: a dynamic framework," Empirical Economics, Springer, vol. 41(2), pages 293-309, October.
  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. Kontonikas, A., 2004. "Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling," Economic Modelling, Elsevier, vol. 21(3), pages 525-543, May.
  56. 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.
  57. Sven-Olov Daunfeldt & Xavier De Luna, 2001. "The efficacy and cost of regime shifts in inflation policies-Evidence from New Zealand and Sweden," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 217-224.
  58. Nima Nonejad, 2019. "Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 246-276, May.
  59. Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers) 0698, Department of Economics - dECON.
  60. Wilson, Bradley Kemp, 2006. "The links between inflation, inflation uncertainty and output growth: New time series evidence from Japan," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 609-620, September.
  61. Diego Ferreira & Andreza Aparecida Palma, 2018. "Inflation And Inflation Uncertainty In Latin America: A Time-Varying Stochastic Volatility In Mean Approach," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  62. Jakob De Haan & Jan Egbert Sturm, 1992. "The Case for Central Bank Independence," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 45(182), pages 305-327.
  63. Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
  64. da Silva Filho, Tito Nícias Teixeira, 2005. "Is there too much certainty when measuring uncertainty," MPRA Paper 16383, University Library of Munich, Germany.
  65. Bipradas Rit, 2012. "The Relationship between Inflation, Inflation Uncertainty and Output Growth in India," Working Papers 1211, Indian Institute of Foreign Trade.
  66. Cheikh Tidiane Ndiaye & Mamadou Abdoulaye Konte, 2012. "Incertitude de l'inflation et croissance économique : le cas de l'UEMOA," Working Papers halshs-00828156, HAL.
  67. Mr. Tamim Bayoumi & Ms. Silvia Sgherri, 2004. "Monetary Magic? How the Fed Improved the Flexibility of the U.S. Economy," IMF Working Papers 2004/024, International Monetary Fund.
  68. Akhand Akhtar Hossain, 2009. "Central Banking and Monetary Policy in the Asia-Pacific," Books, Edward Elgar Publishing, number 12777.
  69. Fushang Liu & Kajal Lahiri, 2006. "Modelling multi-period inflation uncertainty using a panel of density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219.
  70. 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.
  71. Tsyplakov, Alexander, 2015. "Quasifiltering for time-series modeling," MPRA Paper 66453, University Library of Munich, Germany.
  72. Guglielmo maria Coporale & Alexandros Kontonikas, 2006. "The EURO and Inflation Uncertainty In The EMU," Working Papers 2005_13, Business School - Economics, University of Glasgow.
  73. Davis, George K & Kanago, Bryce E, 2000. "The Level and Uncertainty of Inflation: Results from OECD Forecasts," Economic Inquiry, Western Economic Association International, vol. 38(1), pages 58-72, January.
  74. Russell, Steven, 1997. ""Quasifundamental" Variation in the Price Level and the Inflation Rate," Journal of Economic Theory, Elsevier, vol. 74(1), pages 106-151, May.
  75. Timothy Cogley, 1995. "Inflation uncertainty and excess returns on stocks and banks," Economic Review, Federal Reserve Bank of San Francisco, pages 21-29.
  76. Bernasconi, Michele & Kirchkamp, Oliver, 2000. "Why do monetary policies matter? An experimental study of saving and inflation in an overlapping generations model," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 315-343, October.
  77. Guler, Bulent & Ozlale, Umit, 2005. "Is there a flight to quality due to inflation uncertainty?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 603-607.
  78. 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.
  79. 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.
  80. Carmen PINTILESCU & Mircea ASANDULUI & Elena-Daniela VIORICA & Danut-Vasile JEMNA, 2016. "Investigation On The Causal Relationship Between Inflation, Output Growth And Their Uncertainties In Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 17, pages 71-89, June.
  81. Ran TAO & Zheng-Zheng LI & Xiao-Lin LI & Chi-Wei SU, 2018. "A Reexamination of Friedman-Ball’s Hypothesis in Slovakia - Evidence from Wavelet Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 41-54, December.
  82. 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.
  83. 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.
  84. Serkan Erkam & Tarkan Cavusoglu, 2008. "Modelling Inflation Uncertainty In Transition Economies:The Case Of Russia And The Former Soviet Republics," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 53(178-179), pages 44-71, July - De.
  85. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
  86. 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.
  87. E. Yuksel & Y. Akdi, 2009. "The effect of different inflation risks on interest rates of the US," Applied Economics Letters, Taylor & Francis Journals, vol. 16(2), pages 169-175.
  88. Duca, John V. & Van Hoose, David D., 2001. "The Rise of Goods-Market Competition and the Fall of Nominal Wage Contracting: Endogenous Wage Contracting in a Multisector Economy," Journal of Macroeconomics, Elsevier, vol. 23(1), pages 1-29, January.
  89. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 519-544.
  90. Allan Crawford & Marcel Kasumovich, 1996. "Does Inflation Uncertainty Vary with the Level of Inflation?," Staff Working Papers 96-09, Bank of Canada.
  91. Piotr Ciżkowicz & Marcin Hołda & Andrzej Rzońca, 2010. "Inflation and corporate investment – a critical survey," Bank i Kredyt, Narodowy Bank Polski, vol. 41(6), pages 5-44.
  92. TF. Nas & MJ. Perry, 2000. "Inflation, inflation uncertainty, and monetary policy in Turkey: 1960–1998," Contemporary Economic Policy, Western Economic Association International, vol. 18(2), pages 170-180, April.
  93. Funda Telatar & Erdinc Telatar, 2003. "The relationship between inflation and different sources of inflation uncertainty in Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 431-435.
  94. Junttila, Juha, 2001. "Structural breaks, ARIMA model and Finnish inflation forecasts," International Journal of Forecasting, Elsevier, vol. 17(2), pages 203-230.
  95. Michael T. Owyang, 2001. "Persistence, excess volatility, and volatility clusters in inflation," Review, Federal Reserve Bank of St. Louis, vol. 83(Nov.), pages 41-52.
  96. Tsyplakov Alexander, 2001. "Does Lower Inflation Imply Lower Price Uncertainty?," EERC Working Paper Series 2k/06e, EERC Research Network, Russia and CIS.
  97. 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.
  98. Raihan, Tasneem, 2017. "Performance of Markov-Switching GARCH Model Forecasting Inflation Uncertainty," MPRA Paper 82343, University Library of Munich, Germany.
  99. Hwang, Y., 2001. "Relationship between inflation rate and inflation uncertainty," Economics Letters, Elsevier, vol. 73(2), pages 179-186, November.
  100. Hasan Murat Ertugrul & Huseyin Ozturk, 2013. "The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S5), pages 228-249, November.
  101. 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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