DSpace@TEDU

Inflation and Inflation Uncertainty: A Dynamic Framework

Show simple item record

dc.contributor.author Berument, M. Hakan
dc.contributor.author Yalcin, Yeliz
dc.contributor.author Yildirim, Julide
dc.date.accessioned 2019-07-02T11:23:44Z
dc.date.available 2019-07-02T11:23:44Z
dc.date.issued 2012
dc.identifier.issn 0378-4371
dc.identifier.uri https://doi.org/10.1016/j.physa.2012.05.003
dc.identifier.uri http://hdl.handle.net/20.500.12485/382
dc.description.abstract This paper aims to investigate the direct relationship between inflation and inflation uncertainty by employing a dynamic method for the monthly country-region-place United States data for the time period 1976-2007. While the bulk of previous studies has employed (ARCH models in investigating the link between inflation and inflation uncertainty, in this study Stochastic Volatility in Mean models are used to capture the shocks to inflation uncertainty within a dynamic framework. These models allow researchers to assess the dynamic effects of innovations in inflation as well as inflation volatility on inflation and inflation volatility over time, by incorporating the unobserved volatility as an explanatory variable in the mean (inflation) equation. Empirical findings suggest that innovations in inflation volatility increases inflation. This evidence is robust across various definitions of inflation and different sub-periods. (C) 2012 Elsevier B.V. All rights reserved. en_US
dc.description.sponsorship Turkish Scientific and Technological Research Council en_US
dc.language.iso en en_US
dc.publisher ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS en_US
dc.subject Physics en_US
dc.title Inflation and Inflation Uncertainty: A Dynamic Framework en_US
dc.type Article en_US
dc.relation.journal Physica A: Statistical Mechanics and Its Applications
dc.identifier.startpage 4816
dc.identifier.endpage 4826
dc.identifier.volume 391


Files in this item

This item appears in the following Collection(s)

Show simple item record

Search DSpace


Browse

My Account

Statistics