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

被引：31

作者：

Berument, Hakan ^{[1
]}

Yalcin, Yeliz ^{[2
]}

Yildirim, Julide ^{[2
]}

机构：

[1] Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey

[2] Gazi Univ, Dept Econometr, TR-06500 Ankara, Turkey

来源：

ECONOMIC MODELLING | 2009年 / 26卷 / 06期

关键词：

Inflation; Inflation uncertainty; Stochastic volatility models; MAXIMUM-LIKELIHOOD-ESTIMATION; CONDITIONAL HETEROSCEDASTICITY; VARIANCE; REGIMES; LINK;

D O I：

10.1016/j.econmod.2009.05.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This 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. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：1201 / 1207

页数：7

共 55 条

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