Inflation and inflation uncertainty in the G-7 countries
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol.348, pp.371-379, 2005 (SCI-Expanded, SSCI, Scopus)
- Publication Type: Article / Article
- Volume: 348
- Publication Date: 2005
- Doi Number: 10.1016/j.physa.2004.09.003
- Journal Name: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
- Page Numbers: pp.371-379
- Keywords: inflation uncertainty, GARCH models, monetary policy
- Open Archive Collection: AVESIS Open Access Collection
- TED University Affiliated: No
Abstract
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.