Results 211 to 220 of about 34,247 (258)

Fundamental Inflation Uncertainty [PDF]

SSRN Electronic Journal, 2006
We develop a method of quantifying the uncertainty surrounding the estimates of the fundamental inflation implied by the New Keynesian Phillips Curve (NKPC). The uncertainty is represented as a band around the fundamental inflation, and encompasses the sampling uncertainty of both the estimates of the structural parameters and the estimates of the VAR ...
Charlotta Groth, Jarkko Jääskelä, Paolo Surico   +2 more
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Inflation Uncertainty and the Cost of Inflation [PDF]

The Canadian Journal of Economics / Revue canadienne d'Economique, 1999
In this paper, the authors develop a measure of the cost of inflation uncertainty where a risk premium can be interpreted as the amount of real consumption that a representative agent is willing to forgo in order to be guaranteed a perfectly anticipated path of inflation. This premium can be calculated based on the estimation of a utility function that
Pierre Ouellette, Alain Paquet
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Inflation, Uncertainty, and Investment

The Journal of Finance, 1986
ABSTRACTThis paper investigates the effect of inflation on a firm's investments in fixed assets. When future prices are certain, inflation affects the present value of depreciation tax shields, and the impact of inflation on the choice between different lived assets is nonmonotonic. Future asset price uncertainty creates a valuable switching option and
Baldwin, Carliss Y, Ruback, Richard S
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The Macroeconomic Effects of Inflation Uncertainty

SSRN Electronic Journal, 2023
The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level not seen in nearly five decades since the COVID-19 pandemic hit the global economy. Prices, consumption, and production increase after a positive shock to core inflation uncertainty in a vector autoregression.
Metiu, Norbert, Prieto, Esteban
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On Inflation and Inflation Uncertainty in the G7 Countries

Journal of International Money and Finance, 1998
Abstract The relationship between inflation and inflation uncertainty is investigated in the G7 countries from 1948 to 1993. GARCH models are used to generate a measure of inflation uncertainty and then Granger methods are employed to test the causality between average inflation and inflation uncertainty.
Kevin B Grier, Mark Joseph Perry
exaly   +2 more sources

Inflation Targeting and Inflation Uncertainty [PDF]

Scottish Journal of Political Economy, 2012
AbstractThis article empirically investigates the impact of inflation targeting on inflation uncertainty. We implement PARCH and GARCH methodologies to model conditional variance of inflation. We also investigate the relationship between level and volatility of inflation to analyze the validity of the Friedman hypothesis for IT countries.
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Reassessing the inflation uncertainty‐inflation relationship in the tails

Bulletin of Economic Research, 2020
AbstractWe revisit the relationship between inflation and its uncertainty, using monthly US data from 1947 to 2014. We employ the cross–quantilogram approach introduced by Han, Linton, Oka, and Whang (2016), that allows testing for directional predictability across the different segments of the conditional distribution.
Georgios Bampinas, Panagiotis Konstantinou, Theodore Panagiotidis   +2 more
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Inflation and inflation uncertainty in Turkey

Applied Economics, 2010
This article investigates the relationship between inflation and inflation uncertainty, and the impact of monetary policy on this relationship using monthly Turkish inflation data over January 1984 to–October 2005. The results from various types of GARCH-M models indicate that higher inflation rates lead to greater inflation uncertainty.
Sami Keskek, Mehmet Orhan
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Relationship Between Inflation Rate and Inflation Uncertainty

Economics Letters, 2001
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.
exaly   +2 more sources