Inflation and inflation uncertainty : Evidence for the case of Belgium from a GARCH approach
Part of : Αρχείον οικονομικής ιστορίας ; Vol.XVI, No.1, 2004, pages 13-31
Issue:
Pages:
13-31
Author:
Abstract:
This study aims at investigating the relationship between inflation and inflation uncertainty by making use of GARCH models. We specifically test the hypothesis that higher inflation rates lead to higher levels of inflation uncertainty. For this purpose, we use data of the monthly inflation of Belgium to examine the exact nature of this relationship. Our empirical results demonstrate that asymmetric EGARCH models are the best performing in explaining the inflation process of Belgium. Moreover, our evidence supports the view of a positive impact of inflation on inflation uncertainty which is consistent with the economic theory.
Subject:
Subject (LC):
Keywords:
inflation rate, uncertainty, Garch
Notes:
JEL: C32, E31, Appendix with inflation tables
