Inflation and inflation uncertainty in the G-7 countries
Date
2005Source Title
Physica A : Statistical Mechanics and its Applications
Print ISSN
0378-4371
Electronic ISSN
1873-2119
Publisher
Elsevier BV
Volume
348
Pages
371 - 379
Language
English
Type
ArticleItem Usage Stats
277
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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. © 2004 Elsevier B.V. All rights reserved.
Keywords
GARCH modelsInflation uncertainty
Monetary policy
Inflation
Data acquisition
Mathematical models
Maximum likelihood estimation
Public policy
Regression analysis
Uncertain systems
Industrial economics