Asymmetric effects of inflation shocks on inflation uncertainty

Caporale, Barbara; Caporale, Tony

doi:10.1007/bf02298781

Cited by 7 publications

(3 citation statements)

References 8 publications

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“…By providing an explanation for the asymmetric relationship between inflation and inflation uncertainty, Caporale and Caporale [16] employed a TARCH model on monthly US inflation data for the period 1961:01-2000:03 and conclude that negative inflationary shocks result in greater inflation uncertainty than positive shocks. For the UK, Kontonikas [17] uses inflation data spanning the 1972-2002 period to support Friedman-Ball hypothesis.…”

Section: Literature Reviewmentioning

confidence: 99%

“…See Engle and Ng[27] for details on the three equations and the testing procedures used to determine whether the ARCH process is asymmetric 8. Following Caporale and Caporale[16], the INFDUM dummy controls for the impact of the high political and economic uncertainty on macroeconomic uncertainty witnessed in the Ghanaian economy for most part of the late 1970s and early 1980s. INFDUM = 1 after the pre-ERP period and 0 otherwise.…”

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confidence: 99%

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Exponential GARCH Modelling of the Inflation-Inflation Uncertainty Relationship for Ghana

Barimah¹

2014

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This study examines the asymmetric effects of inflation on inflation uncertainty in Ghana for the period 1963:4 to 2014:2. Exponential Generalized Autoregressive Heteroscedasticity (EGARCH) model is employed on monthly inflation rates to estimate inflation uncertainty. Two complementary approaches are used to determine the empirical relationship between inflation and its uncertainty. In the first approach, inflation dummy is included in the variance equation and in the second, we employ the two-step procedure in which Granger causality test is performed on the monthly inflation rates and the conditional variance generated from the EGARCH model. We find strong support for both Friedman-Ball and Cukierman-Meltzer hypotheses for the full sample as well as the inflation targeting period. Given the current build-up in inflationary pressures in Ghana, our results warn of possible costs of not keeping inflation in check. The major policy implication that follows from this study is that the Bank of Ghana should strive to minimize the gap between actual and target inflation levels so the public will have consistent belief in all announced policy targets.

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Section: Literature Reviewmentioning

confidence: 99%

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confidence: 99%

Exponential GARCH Modelling of the Inflation-Inflation Uncertainty Relationship for Ghana

Barimah¹

2014

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“…There have been a number of single country studies utilizing the ARCH‐GARCH class of models to proxy inflation uncertainty: Engle (1983), Bollerslev (1986), Cosimano and Jensen (1988), Evans (1991), Brunner and Hess (1993), Caporale and McKiernan (1997), Balcombe (1999), Caporale and Caporale (2002) and Hwang (2001) for the USA; Fountas (2001) and Kontonikas (2004) for the UK; Bohara and Sauer (1994) for Germany; Nas and Perry (2000) and Telatar and Telatar (2003) for Turkey; and Thornton (2007b) for Argentina. Multi‐country studies include Baillie et al (1996); Grier and Perry (1998), Berument and Dincer (2005), and Henry et al (2007) for the G7 countries; Fountas et al (2004) for six European Union countries; Conrad and Karanasos (2005) for the USA, UK, and Japan; Daal et al (2005) for twenty‐two developed and less developed countries; Berument and Yuksel (2007) for nine inflation targeting countries; and Thornton (2007a) for twelve emerging market economies[3].…”

Section: Introductionmentioning

confidence: 99%

Inflation and inflation uncertainty: evidence from the Caribbean region

Payne

2008

Journal of Economic Studies

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PurposeThe purpose of this paper is to extend the literature on the relationship between inflation and inflation uncertainty by examining three Caribbean countries: the Bahamas, Barbados, and Jamaica.Design/methodology/approachARMA‐GARCH models are used to estimate inflation uncertainty along with Granger‐causality tests to infer the relationship between inflation and inflation uncertainty.FindingsThe results reveal that both the Bahamas and Jamaica exhibit a high degree of volatility persistence in response to inflationary shocks, while Barbados has a much lower persistence measure. Granger‐causality tests indicate that an increase in inflation has been a positive impact on inflation uncertainty for each country. However, an increase in inflation uncertainty yields a decrease in inflation in the case of Jamaica. In summary, the results for the Bahamas and Barbados support the Friedman‐Ball hypothesis, whereas the results for Jamaica support Holland's stabilization‐motive hypothesis.Research limitations/implicationsFuture research on inflation and inflation uncertainty can be extended to incorporate possible regime shifts associated with fiscal and monetary policy.Originality/valueThe study fills a void in the literature with respect to the inflation‐inflation uncertainty nexus for Caribbean countries. The results of the paper may be useful to policymakers in the formulation of fiscal and monetary policy.

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The links between inflation, inflation uncertainty and output growth: New time series evidence from Japan

Wilson¹

2006

Journal of Macroeconomics

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Asymmetric effects of inflation shocks on inflation uncertainty

Cited by 7 publications

References 8 publications

Exponential GARCH Modelling of the Inflation-Inflation Uncertainty Relationship for Ghana

Exponential GARCH Modelling of the Inflation-Inflation Uncertainty Relationship for Ghana

Inflation and inflation uncertainty: evidence from the Caribbean region

The links between inflation, inflation uncertainty and output growth: New time series evidence from Japan

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