Inflation and Inflation Uncertainty in the Euro Area

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

doi:10.2139/ssrn.1493154

Cited by 7 publications

(9 citation statements)

References 54 publications

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“…The empirical inflation uncertainty literature has established a direct relation between inflation and inflation uncertainty in various countries that differ in their average inflation rates, degrees of financial development and various monetary policy regimes (see e.g. Sauer and Bohara, 1995; Daal et al., 2005; Payne, 2009; Caporale et al., 2010; Jiranyakul and Opiela, 2010). Few studies, however, examine the effect of inflation uncertainty on real output.…”

Section: Introductionmentioning

confidence: 99%

The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand*

Jiranyakul

Opiela

2011

Asian Economic Journal

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We explore the impact of inflation uncertainty on output growth in Thailand, an emerging market economy with moderate inflation. Inflation and output uncertainty are modeled in a bivariate constant conditional correlation generalized autoregressive conditional heteroskedastic (AR(p)-cccGARCH(1,1)) specification. We include the exchange rate in the mean equations, and use the headline and core inflation rates and industrial production to generate inflation and output uncertainty series. These series are then used in Granger causality tests to make inferences about the effect of monetary policy-induced inflation uncertainty. Causality tests show a positive relation from inflation to inflation uncertainty. Additionally, increased inflation uncertainty decreases output. These results are consistent with real costs associated with moderate inflation. Finally, we find no evidence that monetary policy reduced these costs.a sej_2062 291..308

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Section: Introductionmentioning

confidence: 99%

The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand*

Jiranyakul

Opiela

2011

Asian Economic Journal

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“…Regarding (i), there is strong empirical support for the Friedman-Ball and Cukierman-Meltzer hypotheses for the euro countries until 2010 (e.g., Caporale, Onorante, and Paesani 2012). However, there is some econometric evidence suggesting that in at least some euro area countries inflation uncertainty has risen in recent years despite the continuously low level of inflation (Chowdhury and Sarkar 2013).…”

Section: Ecb Monetary Policy and Inflation Uncertaintymentioning

confidence: 99%

“…The traditional approach to measure inflation uncertainty is to calculate a measure of its variability and then evaluate changes in it over time (e.g., Caporale, Onorante, and Paesani 2012;Lopez and Papell 2012). As high inflation usually corresponds to higher dispersion of inflation, ex post or ex ante, periods of high inflation were historically associated with higher uncertainty.…”

Section: Introductionmentioning

confidence: 99%

European Central Bank Footprints on Inflation Forecast Uncertainty

Makarova

2017

Economic Inquiry

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The finding of the paper shows the relative effectiveness of the “one size fits all” policy of the European Central Bank. The paper provides strong evidence in favor of this by testing whether the monetary policy effects (footprints) found in inflation uncertainty converge to a common level. These footprints are measured as the fraction of the estimated policy‐induced reduction in this uncertainty. The testing was conducted by applying a bootstrap‐type test in a regression of the rate of growth of these fractions on their initial values, computed for 16 euro area countries. (JEL C33, E52, E58)

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“…A hipótese de que a inflação aumenta a incerteza inflacionária ficou conhecida na literatura como hipótese de Friedman-Ball. Por sua vez, a hipótese de que a incerteza inflacionária provoca um aumento da inflação ficou denominada na literatura como hipótese de Cukierman-Meltzer. No âmbito empírico, a literatura em geral aponta para um efeito positivo do nível da inflação para a incerteza inflacionária, por exemplo: nos EUA (Ball & Cecchetti (1990), Holland (1995), Golob (1994)), no Reino Unido (Kontonikas 2004), para diversos países europeus (Caporale et al 2012) e para o G7 (Berument & Dincer 2005, Grier & Perry. 1998.…”

Section: Introductionunclassified

“…Desse resultado decorre que a inflação produz custos substanciais na economia, por meio do aumento da incerteza inflacionária. Caporale et al (2012) estimam a incerteza inflacionária da zona do Euro por meio de um modelo AR-GARCH, e posteriormente analisam a relação entre a incerteza inflacionária e a inflação por meio de um vetor autorregressivo (VAR). O VAR estimado inclui, além da inflação e da incerteza inflacionária de estado estacionário, a taxa de desemprego, a variação do agregado monetário M3 em termos nominais, a variação da taxa de câmbio nominal e a inclinação da curva de juros, medida pela diferença entre as taxas de juros de 3 meses e de 10 anos.…”

Section: Introductionunclassified

Inflação e incerteza inflacionária no Brasil

Filho¹

2016

Econ. Aplic.

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Este artigo estuda a relação entre o nível da inflação e a incerteza inflacionária no Brasil. Essa variável é obtida a partir de dois métodos. No primeiro, a incerteza inflacionária é estimada por meio de modelos GARCH. No segundo, a incerteza inflacionária é identificada como o desvio-padrão das expectativas de inflação. Testes de causalidade de Granger apontam para causalidade em ambos os sentidos entre a incerteza inflacionária e a inflação. A incerteza inflacionária é positivamente correlacionada com a inflação corrente, e Granger-causa o componente permanente da inflação (núcleo da inflação), quando mensurada pelo desvio-padrão das expectativas de inflação. AbstractThis paper studies the relationship between the level of inflation and inflation uncertainty in Brazil. This variable is obtained through two different methods. In the first one, inflation uncertainty is estimated with GARCH models. In the second one, inflation uncertainty is identified as the standard deviation of inflation expectations. Granger causality tests show that causality runs in both ways between inflation uncertainty and inflation. The results show that inflation uncertainty is positively correlated with current inflation, and Granger-causes the permanent component of inflation (core inflation), when measured by the standard deviation of inflation expectations.

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Inflation and Inflation Uncertainty in the Euro Area

Abstract: 4Non-technical summary 5

Cited by 7 publications

References 54 publications

The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand*

The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand*

European Central Bank Footprints on Inflation Forecast Uncertainty

Inflação e incerteza inflacionária no Brasil

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