Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238815 
Year of Publication: 
2015
Citation: 
[Journal:] International Econometric Review (IER) [ISSN:] 1308-8815 [Volume:] 7 [Issue:] 1 [Publisher:] Econometric Research Association (ERA) [Place:] Ankara [Year:] 2015 [Pages:] 34-50
Publisher: 
Econometric Research Association (ERA), Ankara
Abstract: 
This paper studies the impact of inflation on inflation uncertainty in a modelling framework where both the conditional mean and conditional variance of inflation are regime specific, and the GARCH model for inflation uncertainty is extended by including a lagged inflation term in each regime. Applying this model to the G7 countries with monthly data from 1970 till 2013, it is found that the impact of inflation on inflation uncertainty differs over the regimes in most of the G7 countries. The findings also provide strong empirical support to the well-known Friedman-Ball hypothesis of positive impact of inflation on inflation uncertainty, but only for the high-inflation regime.
Subjects: 
Inflation
Inflation Uncertainty
Regime Switching Model
JEL: 
C22
E31
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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