• About
  • Policies
  • What is open access
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Economics, Administrative And Social Sciences
      • Department of Economics
      • View Item
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Economics, Administrative And Social Sciences
      • Department of Economics
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Inflation and inflation uncertainty in the G-7 countries

      Thumbnail
      View / Download
      194.8 Kb
      Author(s)
      Berument, Hakan
      Dincer, N. N.
      Date
      2005
      Source 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
      Article
      Item Usage Stats
      277
      views
      329
      downloads
      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 models
      Inflation uncertainty
      Monetary policy
      Inflation
      Data acquisition
      Mathematical models
      Maximum likelihood estimation
      Public policy
      Regression analysis
      Uncertain systems
      Industrial economics
      Permalink
      http://hdl.handle.net/11693/24086
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.physa.2004.09.003
      Collections
      • Department of Economics 697
      Show full item record

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCoursesThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCourses

      My Account

      Login

      Statistics

      View Usage StatisticsView Google Analytics Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the site administrator. Phone: (312) 290 2976
      © Bilkent University - Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin | Privacy