Inflation and inflation uncertainty in the G-7 countries

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Berument H., Dinçer N. N.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.348, ss.371-379, 2005 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 348
  • Basım Tarihi: 2005
  • Doi Numarası: 10.1016/j.physa.2004.09.003
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.371-379
  • Anahtar Kelimeler: inflation uncertainty, GARCH models, monetary policy
  • TED Üniversitesi Adresli: Hayır

Özet

This study examines the relationship between inflation and inflation uncertainty in the G-7 countries for the period from 1957 to 2001. The causality between the inflation and inflation uncertainty is tested by using the Full Information Maximum Likelihood Method with extended lags. Our results suggest that inflation causes inflation uncertainty for all the G-7 countries, while inflation uncertainty causes inflation for Canada, France, Japan, the UK and the US. Furthermore, we find that in four countries (Canada. France. the UK and the US) increased uncertainty lowers inflation, and in only one country (Japan), increased uncertainty raises inflation. (C) 2004 Elsevier B.V. All rights reserved.