The relationship between inflation and inflation uncertainty. Empirical evidence for the newest EU countries

PLoS One. 2014 Mar 14;9(3):e91164. doi: 10.1371/journal.pone.0091164. eCollection 2014.

Abstract

The objective of this paper is to verify the hypotheses presented in the literature on the causal relationship between inflation and its uncertainty, for the newest EU countries. To ensure the robustness of the results, in the study four models for inflation uncertainty are estimated in parallel: ARCH (1), GARCH (1,1), EGARCH (1,1,1) and PARCH (1,1,1). The Granger method is used to test the causality between two variables. The working hypothesis is that groups of countries with a similar political and economic background in 1990 and are likely to be characterized by the same causal relationship between inflation and inflation uncertainty. Empirical results partially confirm this hypothesis.

Jel classification: C22, E31, E37.

MeSH terms

  • Inflation, Economic*
  • Models, Theoretical*
  • Uncertainty

Grants and funding

These authors have no support or funding to report.