Inflation and inflation uncertainty in the euro area

Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo

doi:10.1007/s00181-011-0489-5

Cited by 32 publications

(18 citation statements)

References 48 publications

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“…According to (3) z t affects both the conditional expectation and variance of Y t , so that the Y t process features stochastic volatility. Similar modelling has been entertained in the literature, (see, e.g., Capistrán and Timmermann, 2009;Caporale et al, 2010;Andrade et al, 2014). Vector z t is essential for modelling time-varying inflation variances so we refer to z t as the uncertainty vector (and to z j,t as the uncertainty factors) hereinafter.…”

Section: European Surveysmentioning

confidence: 89%

The Joint Dynamics of the U.S. and Euro-Area Inflation: Expectations and Time-Varying Uncertainty

Grishchenko¹,

Mouabbi²,

Renne³

2016

SSRN Journal

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Section: European Surveysmentioning

confidence: 89%

The Joint Dynamics of the U.S. and Euro-Area Inflation: Expectations and Time-Varying Uncertainty

Grishchenko¹,

Mouabbi²,

Renne³

2016

SSRN Journal

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“…The Kalman filter provides an estimate for the variance of the forecast error in the last period. Note that this variance combines model uncertainty emerging from time-variation of the coefficients and uncertainty emerging from the shock process η t (see Evans, 1991;Caporale et al, 2012, for a detailed explanation). We successively iterate through time until 2009:M12 and obtain an estimate for the variance of the forecast error at each point in time which obtains the label garch.…”

Section: Forecast-based Measuresmentioning

confidence: 99%

Inflation uncertainty revisited: a proposal for robust measurement

2014

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractAny measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information contained in different measures derived from survey data, a variety of forecast models, and volatility models. We show that all measures are driven by a common component which constitutes an indicator for inflation uncertainty. Moreover, the idiosyncratic component of survey disagreement contains systematic measurement error during economic downturns. Finally, we study the Friedman-Ball hypothesis. Using the indicator, it turns out that higher inflation is followed by higher uncertainty. By contrast, we obtain contradictory results for the individual measures. We also document that, after an inflationary shock, uncertainty decreases in the first two months which is traceable to the energy component in CPI inflation.JEL Code: C53, E31, E37.

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“…By increasing the relative price variability (see e.g. Nautz and Scharff, 2006or Banerjee et al 2007, Caporale et al, 2010, inflation makes it difficult for entrepreneurs to assess what is worth manufacturing and what is not, as well as reduces the number of contracts and shortens the average period of contract duration (see e.g. Reagan andStulz 1993 andGuerrero 2005).…”

Section: Channels Of the Impact Of Inflation On Corporate Investmentmentioning

confidence: 99%

Does Inflation Harm Corporate Investment? Empirical Evidence from OECD Countries

Ciżkowicz

Rzońca

2013

Economics

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Theoretical models point at various channels of the impact of inflation on corporate investment. This article attempts to answer the question what the direction and strength of this possible impact is, examining the relationship between corporate investment and inflation on the sample of 21 OECD countries in the years 1960-2005. The obtained negative relationship, statistically and economically significant, proves robust to changes in the specification of the estimated equation, estimators, frequency of variables used in the study and analysed period. Moreover, the obtained results suggest a nonlinear character of this relationship: the marginal effect on corporate investment is higher at inflation rates between 3 and 5.5 per cent. These results suggest that the impact of inflation on corporate investment dynamics may be the source of the nonlinear nature of the relationship between GDP growth and inflation identified in previous empirical studies. Finally, taking into account the direct impact of inflation on investment, variables approximating the cost of capital utilisation prove to be statistically insignificant determinants of corporate investment. JEL E22 C23 D22 D81 E31 F44

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Inflation and inflation uncertainty in the euro area

Abstract: 4Non-technical summary 5

Cited by 32 publications

References 48 publications

The Joint Dynamics of the U.S. and Euro-Area Inflation: Expectations and Time-Varying Uncertainty

The Joint Dynamics of the U.S. and Euro-Area Inflation: Expectations and Time-Varying Uncertainty

Inflation uncertainty revisited: a proposal for robust measurement

Does Inflation Harm Corporate Investment? Empirical Evidence from OECD Countries

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