Caporale, Guglielmo Maria
[Verfasser:in]
;
Onorante, Luca
[Sonstige Person, Familie und Körperschaft];
Paesani, Paolo
[Sonstige Person, Familie und Körperschaft]
Inflation and Inflation Uncertainty in the Euro Area
Erschienen in:CESifo Working Paper Series ; No. 2720
Umfang:
1 Online-Ressource (27 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1441147
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2009 erstellt
Beschreibung:
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