Relationship between inflation rate and inflation uncertainty. (Q5958682): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 00:48, 5 March 2024
scientific article; zbMATH DE number 1715723
Language | Label | Description | Also known as |
---|---|---|---|
English | Relationship between inflation rate and inflation uncertainty. |
scientific article; zbMATH DE number 1715723 |
Statements
Relationship between inflation rate and inflation uncertainty. (English)
0 references
3 March 2002
0 references
To shed further light on the possible link between inflation rate and inflation uncertainty, the paper explores the relationship for US monthly inflation over 1926 to 1992 with various ARFIMA-GARCH-type models. It found that the inflation affected its uncertainty weakly negatively whereas the uncertainty affected the inflation insignificantly. The results were robust to the high inflation period of the 1970s and the volatile period of 1929 to 1945. It supports Engle's result that a high rate of inflation does not necessarily imply a high variance of inflation, unlike Friedman's view that a high rate of inflation leads to a high variance of inflation.
0 references
Inflation rate
0 references
Uncertainty
0 references
Long memory
0 references
ARFIMA
0 references
GARCH
0 references