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Inflation and inflation uncertainty in Argentina, 1810-2005

  • Thornton, John

Unit root tests results suggest that inflation in Argentina for the period 1810-2005 is a stationary series when account is taken of structural breaks that coincide with bouts of hyperinflation. A GARCH (1,1) model of annual inflation suggests a positive short-run relation between the mean and variance of inflation, supporting Friedman's hypothesis that high inflation is associated with more variable inflation.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4NNYJ55-3/1/57be5474015b4a0a5f27111c287c1192
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 98 (2008)
Issue (Month): 3 (March)
Pages: 247-252

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Handle: RePEc:eee:ecolet:v:98:y:2008:i:3:p:247-252
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers 04-17, Department of Economics, Appalachian State University.
  2. Fountas, Stilianos & Alexandra,Ioannidid, 2001. "Inflation, Inflation Uncertainty, and a Common European Monetary Policy," Working Papers 0054, National University of Ireland Galway, Department of Economics, revised 2001.
  3. Friedman, Milton, 1977. "Nobel Lecture: Inflation and Unemployment," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 451-72, June.
  4. Hwang, Y., 2001. "Relationship between inflation rate and inflation uncertainty," Economics Letters, Elsevier, vol. 73(2), pages 179-186, November.
  5. 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.
  6. Conrad, C. & Karanasos, M., 2005. "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach," Japan and the World Economy, Elsevier, vol. 17(3), pages 327-343, August.
  7. Clemente, Jesus & Montanes, Antonio & Reyes, Marcelo, 1998. "Testing for a unit root in variables with a double change in the mean," Economics Letters, Elsevier, vol. 59(2), pages 175-182, May.
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