Inflation, its Volatility and the Inflation-Growth Tradeoff in India
This paper amends the New Keynesian Phillips curve model to include inflation volatility. It provides results on the determinants of inflation volatility and expected inflation volatility for OLS and ARDL(1,1) models and for change in inflation volatility and change in expected inflation volatility using ECM models. Output gap affects change in expected inflation volatility alone (in the ECM model) and not in the other models. Major determinants of inflation volatility and expected inflation volatility are identified. To the best of our knowledge this is the first paper to augment the New Keynesian Phillips Curve to include inflation volatility.
|Date of creation:||2013|
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- Sophocles N. Brissimis & Nicholas S. Magginas, 2008.
"Inflation Forecasts and the New Keynesian Phillips Curve,"
International Journal of Central Banking,
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2005/22, Free University Berlin, School of Business & Economics.
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"Investment and Monetary Policy: Learning and Determinacy of Equilibrium,"
324, University of Pittsburgh, Department of Economics, revised Aug 2008.
- John Duffy & Wei Xiao, 2011. "Investment and Monetary Policy: Learning and Determinacy of Equilibrium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 959-992, 08.
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