Inflation and inflation uncertainty: a dynamic framework

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buir.contributor.authorBerument, Hakan
dc.citation.epage4826en_US
dc.citation.issueNumber20en_US
dc.citation.spage4816en_US
dc.citation.volumeNumber391en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorYalcin, Y.en_US
dc.contributor.authorYildirim J.en_US
dc.date.accessioned2016-02-08T09:44:23Z
dc.date.available2016-02-08T09:44:23Z
dc.date.issued2012en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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 GARCH 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. © 2012 Elsevier B.V. All rights reserved.en_US
dc.identifier.doi10.1016/j.physa.2012.05.003en_US
dc.identifier.eissn1873-2119
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/21295
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2012.05.003en_US
dc.source.titlePhysica A: Statistical Mechanics and its Applicationsen_US
dc.subjectInflationen_US
dc.subjectInflation uncertaintyen_US
dc.subjectStochastic volatility modelsen_US
dc.subjectDynamic effectsen_US
dc.subjectDynamic frameworken_US
dc.subjectDynamic methoden_US
dc.subjectEmpirical findingsen_US
dc.subjectExplanatory variablesen_US
dc.subjectGARCH modelsen_US
dc.subjectStochastic volatilityen_US
dc.subjectTime-periodsen_US
dc.subjectPhysicsen_US
dc.subjectEconomic analysisen_US
dc.titleInflation and inflation uncertainty: a dynamic frameworken_US
dc.typeArticleen_US

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