The effect of inflation uncertainty on inflation: stochastic volatility in mean model within a dynamic framework

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buir.contributor.authorBerument, Hakan
dc.citation.epage1207en_US
dc.citation.issueNumber6en_US
dc.citation.spage1201en_US
dc.citation.volumeNumber26en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorYalcin, Y.en_US
dc.contributor.authorYildirim J.en_US
dc.date.accessioned2016-02-08T10:01:56Z
dc.date.available2016-02-08T10:01:56Z
dc.date.issued2009en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the monthly United States data for the time period 1976-2006. In order to investigate the effect of inflation uncertainty innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture the innovation to inflation uncertainty, which cannot be achieved in the framework of popular deterministic ARCH type of models. Empirical evidence provided here suggests that innovations in inflation volatility increases inflation persistently. This evidence is robust across various definitions of inflation and different sub-periods. © 2009 Elsevier B.V. All rights reserved.en_US
dc.identifier.doi10.1016/j.econmod.2009.05.007en_US
dc.identifier.eissn1873-6122
dc.identifier.issn0264-9993
dc.identifier.urihttp://hdl.handle.net/11693/22579
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.econmod.2009.05.007en_US
dc.source.titleEconomic Modellingen_US
dc.subjectInflationen_US
dc.subjectInflation uncertaintyen_US
dc.subjectStochastic volatility modelsen_US
dc.titleThe effect of inflation uncertainty on inflation: stochastic volatility in mean model within a dynamic frameworken_US
dc.typeArticleen_US

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