Inflation and inflation uncertainty in the G-7 countries

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buir.contributor.authorBerument, Hakan
dc.citation.epage379en_US
dc.citation.spage371en_US
dc.citation.volumeNumber348en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorDincer, N. N.en_US
dc.date.accessioned2016-02-08T10:23:53Z
dc.date.available2016-02-08T10:23:53Z
dc.date.issued2005en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1016/j.physa.2004.09.003en_US
dc.identifier.eissn1873-2119
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/24086
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2004.09.003en_US
dc.source.titlePhysica A : Statistical Mechanics and its Applicationsen_US
dc.subjectGARCH modelsen_US
dc.subjectInflation uncertaintyen_US
dc.subjectMonetary policyen_US
dc.subjectInflationen_US
dc.subjectData acquisitionen_US
dc.subjectMathematical modelsen_US
dc.subjectMaximum likelihood estimationen_US
dc.subjectPublic policyen_US
dc.subjectRegression analysisen_US
dc.subjectUncertain systemsen_US
dc.subjectIndustrial economicsen_US
dc.titleInflation and inflation uncertainty in the G-7 countriesen_US
dc.typeArticleen_US

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