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Re-examining inflation and inflation uncertainty in developed and emerging countries

Author

Listed:
  • Daal, Elton

    (University of New Orleans)

  • Naka, Atsuyuki

    (University of New Orleans)

  • Sanchez, Benito

    (University of New Orleans)

Abstract

This study examines the relationship between inflation and inflation uncertainty for both developed and emerging countries using the asymmetric power GARCH model. We find new evidence that suggests that positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries. We also find that inflation causes inflation uncertainty for most countries but the evidence for causality of the opposite direction is mixed.

Suggested Citation

  • Daal, Elton & Naka, Atsuyuki & Sanchez, Benito, 2004. "Re-examining inflation and inflation uncertainty in developed and emerging countries," Working Papers 2004-06, University of New Orleans, Department of Economics and Finance.
  • Handle: RePEc:uno:wpaper:2004-06
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    Keywords

    Inflation; Emerging nations; Latin America;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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