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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Onorante, L | - |
dc.contributor.author | Paesani, P | - |
dc.date.accessioned | 2011-05-13T11:15:44Z | - |
dc.date.available | 2011-05-13T11:15:44Z | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 09-31 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/5119 | - |
dc.description.abstract | This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly owing to exogenous shocks. A sequential dummy procedure provides further evidence of a structural break coinciding with the introduction of the euro and resulting in lower long-run uncertainty. It also appears that the direction of causality has been reversed, and that in the euro period the Friedman-Ball link is empirically supported, implying that the ECB can achieve lower inflation uncertainty by lowering the inflation rate. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Brunel University | en_US |
dc.subject | Inflation | en_US |
dc.subject | Inflation uncertainty | en_US |
dc.subject | Time-varying parameters | en_US |
dc.subject | GARCH models | en_US |
dc.subject | ECB | en_US |
dc.subject | EMU | en_US |
dc.title | Inflation and inflation uncertainty in the Euro area | en_US |
dc.type | Research Paper | en_US |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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0931[1].pdf | 317.44 kB | Adobe PDF | View/Open |
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