Relationship between inflation rate and inflation uncertainty

Economics Letters

Volumn 73, Issue 2, 2001, Pages 179-186

  Hwang, Y ^a  

^a MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

ARFIMA; C22; GARCH; Inflation rate; Long memory; Uncertainty

Indexed keywords

EID: 0035617941     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(01)00482-7     Document Type: Article

References (18)

1. Ball L., Cecchetti S. Inflation and uncertainty at short and long horizons. Brookings Papers on Economic Activity. 1:1990;215-254.
2. Caporale T., McKiernan B. High and variable inflation: further evidence on the Friedman hypothesis. Economics Letters. 54:1997;65-68.
3. Cosimano T., Jansen D. A comment on estimates of the variance of US inflation based upon the ARCH model. Journal of Money, Credit, and Banking. 20:1988;409-421.
4. Cukierman A., Wachtel P. Differential inflationary expectations and the variability of the rate of inflation. American Economic Review. 69:1979;595-609.
5. de Brouwer G., Ericcson N. Modelling inflation in Australia. Journal of Business and Economic Statistics. 16:1998;433-449.
6. Durevall D. The dynamics of chronic inflation in Brazil, 1968-1985. Journal of Business and Economic Statistics. 16:1998;423-432.
7. Engle R. Estimates of the variance of US inflation based upon the ARCH model. Journal of Money, Credit, and Banking. 15:1983;286-301.
8. Evans M. Discovering the link between inflation rates and inflation uncertainty. Journal of Money, Credit, and Banking. 23:1991;167-184.
9. Fisher S. Towards an understanding of the costs of inflation: II. Carnegie Rochester Conferences Series on Public Policy. 15:1981;5-42.
10. Foster E. The variability of inflation. Review of Economics and Statistics. 60:1978;346-350.
11. Franz W., Gordon R. German and American wage and price dynamics: differences and common themes. European Economic Review. 37:1993;719-762. with discussion.
12. Friedman M. Nobel lecture: inflation and unemployment. Journal of Political Economy. 85:1977;451-472.
13. Garcia R., Perron P. An analysis of the real interest rate under regime shifts. Review of Economics and Statistics. 83:1996;111-125.
14. Holland A.S. Comment on inflation regimes and the sources of inflation uncertainty. Journal of Money, Credit, and Banking. 25:1993;514-519.
15. Hwang Y. Asymmetric long memory in exchange return. Economics Letters. 2001;. in press.
16. Metin K. The relationship between inflation and the budget deficit in Turkey. Journal of Business and Economic Statistics. 16:1998;412-422.
17. Miron J., Romer C. A new monthly index of industrial production, 1884-1940. Journal of Economic History. 50:1990;321-337.
18. Taylor J. On the relation between the variability of inflation and the average inflation rate. Carnegie Rochester Conferences Series on Public Policy. 15:1981;57-86.