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http://bura.brunel.ac.uk/handle/2438/26805| Title: | Asymmetries, uncertainty and inflation: evidence from developed and emerging economies |
| Authors: | Anderl, C Caporale, GM |
| Keywords: | inflation;asymmetries;NARDL;oil price uncertainty;economic policy uncertainty |
| Issue Date: | 22-Jul-2023 |
| Publisher: | Springer Nature |
| Citation: | Anderl, C. and Caporale, G.M. (2023) 'Asymmetries, uncertainty and inflation: evidence from developed and emerging economies', Journal of Economics and Finance, 0 (ahead of print), pp. 1 - 34. doi: 10.1007/s12197-023-09639-6. |
| Abstract: | Copyright © 2023 The Author(s). This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s until August 2022 for a number of developed and emerging countries, we find that the estimated effects of both EPU and OPU shocks are larger when allowing for asymmetries in the context of the NARDL framework. Further, EPU shocks, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent, monetary policy uncertainty, greater transparency and more timely communications from monetary authorities to the public would be helpful to anchor inflation expectations. |
| Description: | Data availability: Data are available from the authors upon reasonable request. |
| URI: | https://bura.brunel.ac.uk/handle/2438/26805 |
| DOI: | https://doi.org/10.1007/s12197-023-09639-6 |
| ISSN: | 1055-0925 |
| Other Identifiers: | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 |
| Appears in Collections: | Dept of Economics and Finance Embargoed Research Papers |
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