On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach

被引：62

作者：

Conrad, C

Karanasos, M ^{[1
]}

机构：

[1] Univ York, Dept Econ & Related Studies, York YO10 5DD, N Yorkshire, England

[2] Univ Mannheim, Dept Econ, Mannheim, Germany

来源：

JAPAN AND THE WORLD ECONOMY | 2005年 / 17卷 / 03期

关键词：

inflation nominal uncertainty; dual long memory; granger-causality;

D O I：

10.1016/j.japwor.2004.03.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We use parametric models of long memory in both the conditional mean and the conditional variance of inflation and monthly data in the USA, Japan and the UK for the period 1962-2001 to examine the relationship between inflation and inflation-uncertainty. In all countries, inflation significantly raises inflation-uncertainty as predicted by Friedman. Increased nominal uncertainty affects inflation in Japan and the UK but not in the same manner. The results from Japan support the Cukierman-Meltzer hypothesis. In the UK uncertainty surrounding the future inflation appears to have a mixed impact on inflation. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：327 / 343

页数：17