Asymmetric and Time‐Varying Causality between Inflation and Inflation Uncertainty in G‐7 Countries
Bibliographic Data
| ID | 10493125 |
|---|---|
| Authors | Mehmet Balcilar (Eastern Mediterranean University), Mehmet Balcılar (0000-0001-9694-5196, Eastern Mediterranean University, corresponding author), Zeynel Abidin Özdemir (0000-0001-8600-0463, Gazi University) |
| Year | 2013 |
| Volume | 60 |
| Issue | 1 |
| Pages | 1-42 |
| Publication date | 2013-01-03 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Scottish Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0036-9292 • E-ISSN: 1467-9485 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/sjpe.12000 |
| OpenAlex | W2048943095 |
| Language | EN |
| Citations received | 3 |
| References cited | 71 |
We use G ranger causality tests within a conditional G aussian M arkov switching vector autoregressive ( MS ‐ VAR ) model using monthly data for G ‐7 countries covering the period 1959:12–2008:10 to examine the relationship between inflation and inflation‐uncertainty. The MS ‐ VAR model allows us to model parameter time‐variation so as to reflect changes in Granger causality, assuming that these changes are stochastic and governed by an unobservable M arkov chain. Inflation uncertainty is measured as the conditional variance generated by a Fractionally Integrated Smooth Transition Autoregressive Moving Average‐Asymmetric Power ARCH ( FISTARMA ‐ APARCH ) model. The distinguishing feature of our approach from the previous studies is the determination of the sign of the G ranger causality relationship between inflation and its uncertainty over time. First, using a rolling VAR model, we show that the relationship between inflation and inflation uncertainty is time varying with frequent breaks. Second, using the MS ‐ VAR model, we obtain strong evidence in favour of the H olland's ‘stabilizing Fed hypothesis’ for C anada, F rance, G ermany, J apan, U nited K ingdom, and the U nited S tates. We also find evidence in favour of the F riedman hypothesis for C anada and the U nited S tates
Autoregressive conditional heteroskedasticity · Autoregressive model · Causality (physics · Conditional variance · Econometrics · Economics · Granger causality · Inflation (cosmology · Physics · Sign (mathematics · Unobservable · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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| Unique citing works | 3 |
|---|---|
| Citations per year | 0.27 |
| Citation span | 2015 - 2020 (6) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 3 |