The Level and Uncertainty of Inflation: Results from OECD Forecasts
There is considerable evidence that inflation variability and the level of inflation are positively related across countries. Evidence of a within-country relation is mixed. Evidence for a significant positive relation comes mostly from studies using some survey measure; contrary evidence comes mostly from studies using regression errors. Our measure of uncertainty is the squared forecast-error from Organization for Economic Cooperation and Development inflation forecasts. Most countries do not exhibit a positive and significant relation. The greatest number of positive coefficients is for relative uncertainty regressed on contemporaneous inflation. Copyright 2000 by Oxford University Press.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 38 (2000)
Issue (Month): 1 (January)
|Contact details of provider:|| Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK|
Fax: 01865 267 985
Web page: http://ei.oupjournals.org/
More information through EDIRC
|Order Information:||Web: http://www.oup.co.uk/journals|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Allan D. Brunner & Gregory D. Hess, 1990.
"Are higher levels of inflation less predictable? A state-dependent conditional heteroskedasticity approach,"
Finance and Economics Discussion Series
141, Board of Governors of the Federal Reserve System (U.S.).
- Brunner, Allan D & Hess, Gregory D, 1993. "Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 187-97, April.
- Darrat, Ali F. & Lopez, Franklin A., 1988. "Price instability and inflation : Some tests based on rational expectations models," Economics Letters, Elsevier, vol. 26(2), pages 111-119.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Ball, Laurence, 1992.
"Why does high inflation raise inflation uncertainty?,"
Journal of Monetary Economics,
Elsevier, vol. 29(3), pages 371-388, June.
- Laurence Ball, 1990. "Why Does High Inflation Raise Inflation Uncertainty?," NBER Working Papers 3224, National Bureau of Economic Research, Inc.
- Ungar, Meyer & Zilberfarb, Ben-Zion, 1993. "Inflation and Its Unpredictability--Theory and Empirical Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 709-20, November.
- Bulkley, George, 1984. "Does inflation uncertainty increase with the level of inflation?," European Economic Review, Elsevier, vol. 25(2), pages 213-221, July.
- Davis, George & Kanago, Bryce, 1998. "High and Uncertain Inflation: Results from a New Data Set," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(2), pages 218-30, May.
- A. R. Pagan & A. D. Hall & P. K. Trivedi, 1983. "Assessing the Variability of Inflation," Review of Economic Studies, Oxford University Press, vol. 50(4), pages 585-596.
- Zarnowitz, Victor & Lambros, Louis A, 1987. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June.
- Gale, William A, 1981. "Temporal Variability of United States Consumer Price Index," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(3), pages 273-97, August.
- Martin Evans & Paul Wachtel, 1993. "Inflation regimes and the sources of inflation uncertainty," Proceedings, Federal Reserve Bank of Cleveland, pages 475-520.
- Victor Zarnowitz & Louis A. Lambros, 1983. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc.
- Davis, George & Kanago, Bryce, 1997. "Contract Duration, Inflation Uncertainty, and the Welfare Effects of Inflation," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 237-251, April.
- Gregory D. Hess & Charles S. Morris, 1996. "The long-run costs of moderate inflation," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 71-88.
- Khan, Ashfaque H. & Abbas, Kalbe, 1983. "Additional evidence on inflation variability : The experience of asian countries," Economics Letters, Elsevier, vol. 12(2), pages 157-161.
- Holland, A Steven, 1995. "Inflation and Uncertainty: Tests for Temporal Ordering," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 827-37, August.
- Blejer, Mario I., 1979. "Inflation variability in Latin America : A note on the time series evidence," Economics Letters, Elsevier, vol. 2(4), pages 337-341.
- Edmonds, Radcliffe Jr. & So, Jacky C., 1993. "Variability and inflation: Evidence from developed and developing countries," Journal of Macroeconomics, Elsevier, vol. 15(4), pages 679-708.
- Evans, Martin, 1991. "Discovering the Link between Inflation Rates and Inflation Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 169-84, May.
When requesting a correction, please mention this item's handle: RePEc:oup:ecinqu:v:38:y:2000:i:1:p:58-72. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.