English, Article, Journal or magazine article edition: Inflation and Inflation Uncertainty in the Euro Area Guglielmo Maria Caporale; Luca Onorante; Paolo Paesani

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Bookmark: http://trove.nla.gov.au/version/125979
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Inflation and Inflation Uncertainty in the Euro Area
Author
  • Guglielmo Maria Caporale
  • Luca Onorante
  • Paolo Paesani
Physical Description
  • preprint
Notes
  • RePEc:diw:diwwpp:dp909
  • 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
  • RePEc:ces:ceswps:_2720
Language
  • English
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