Inflation and inflation uncertainty in the Euro Area:
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. Th...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
München
CESifo
2009
|
| Schriftenreihe: | CESifo working paper
2720 : Category 7, Monetary policy and international finance |
| Schlagworte: | |
| Zusammenfassung: | 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. -- inflation ; inflation uncertainty ; time-varying parameters ; GARCH models ; ECB, EMU |
| Beschreibung: | 20 S. graph. Darst. |
Internformat
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| 520 | 8 | |a 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. -- inflation ; inflation uncertainty ; time-varying parameters ; GARCH models ; ECB, EMU | |
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Datensatz im Suchindex
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| author | Caporale, Guglielmo Maria Onorante, Luca Paesani, Paolo |
| author_GND | (DE-588)12203922X |
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| bvnumber | BV035815733 |
| classification_rvk | QB 910 |
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| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV035815733 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:05:14Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018674578 |
| oclc_num | 472574182 |
| open_access_boolean | |
| owner | DE-521 DE-12 DE-706 DE-19 DE-BY-UBM |
| owner_facet | DE-521 DE-12 DE-706 DE-19 DE-BY-UBM |
| physical | 20 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | CESifo |
| record_format | marc |
| series | CESifo working paper |
| series2 | CESifo working paper |
| spelling | Caporale, Guglielmo Maria Verfasser (DE-588)12203922X aut Inflation and inflation uncertainty in the Euro Area Guglielmo Maria Caporale ; Luca Onorante ; Paolo Paesani München CESifo 2009 20 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier CESifo working paper 2720 : Category 7, Monetary policy and international finance 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. -- inflation ; inflation uncertainty ; time-varying parameters ; GARCH models ; ECB, EMU Europäische Zentralbank (DE-588)5287962-8 gnd rswk-swf Inflationsrate (DE-588)4120485-2 gnd rswk-swf Inflation (DE-588)4026887-1 gnd rswk-swf Euro Währung (DE-588)4408931-4 gnd rswk-swf Inflationspolitik (DE-588)4264063-5 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf Euro Währung (DE-588)4408931-4 s Inflation (DE-588)4026887-1 s Inflationsrate (DE-588)4120485-2 s Inflationspolitik (DE-588)4264063-5 s Europäische Zentralbank (DE-588)5287962-8 b GARCH-Prozess (DE-588)4346436-1 s DE-604 Onorante, Luca Verfasser aut Paesani, Paolo Verfasser aut CESifo working paper 2720 : Category 7, Monetary policy and international finance (DE-604)BV013978326 2720 |
| spellingShingle | Caporale, Guglielmo Maria Onorante, Luca Paesani, Paolo Inflation and inflation uncertainty in the Euro Area CESifo working paper Europäische Zentralbank (DE-588)5287962-8 gnd Inflationsrate (DE-588)4120485-2 gnd Inflation (DE-588)4026887-1 gnd Euro Währung (DE-588)4408931-4 gnd Inflationspolitik (DE-588)4264063-5 gnd GARCH-Prozess (DE-588)4346436-1 gnd |
| subject_GND | (DE-588)5287962-8 (DE-588)4120485-2 (DE-588)4026887-1 (DE-588)4408931-4 (DE-588)4264063-5 (DE-588)4346436-1 |
| title | Inflation and inflation uncertainty in the Euro Area |
| title_auth | Inflation and inflation uncertainty in the Euro Area |
| title_exact_search | Inflation and inflation uncertainty in the Euro Area |
| title_full | Inflation and inflation uncertainty in the Euro Area Guglielmo Maria Caporale ; Luca Onorante ; Paolo Paesani |
| title_fullStr | Inflation and inflation uncertainty in the Euro Area Guglielmo Maria Caporale ; Luca Onorante ; Paolo Paesani |
| title_full_unstemmed | Inflation and inflation uncertainty in the Euro Area Guglielmo Maria Caporale ; Luca Onorante ; Paolo Paesani |
| title_short | Inflation and inflation uncertainty in the Euro Area |
| title_sort | inflation and inflation uncertainty in the euro area |
| topic | Europäische Zentralbank (DE-588)5287962-8 gnd Inflationsrate (DE-588)4120485-2 gnd Inflation (DE-588)4026887-1 gnd Euro Währung (DE-588)4408931-4 gnd Inflationspolitik (DE-588)4264063-5 gnd GARCH-Prozess (DE-588)4346436-1 gnd |
| topic_facet | Europäische Zentralbank Inflationsrate Inflation Euro Währung Inflationspolitik GARCH-Prozess |
| volume_link | (DE-604)BV013978326 |
| work_keys_str_mv | AT caporaleguglielmomaria inflationandinflationuncertaintyintheeuroarea AT onoranteluca inflationandinflationuncertaintyintheeuroarea AT paesanipaolo inflationandinflationuncertaintyintheeuroarea |