Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/29787 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 909
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly owing to exogenous shocks. A sequential dummy procedure provides further evidence of a structural break coinciding with the introduction of the euro and resulting in lower long-run uncertainty. It also appears that the direction of causality has been reversed, and that in the euro period the Friedman-Ball link is empirically supported, implying that the ECB can achieve lower inflation uncertainty by lowering the inflation rate.
Schlagwörter: 
Inflation
inflation uncertainty
time-varying parameters
GARCH models
ECB
EMU
JEL: 
E31
E52
C22
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
199.35 kB





Publikationen in EconStor sind urheberrechtlich geschützt.