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Inflation, Inflation Uncertainty, and a Common European Monetary Policy

ARAN - Access to Research at NUI Galway

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dc.contributor.author Fountas, Stilianos en
dc.date.accessioned 2010-07-15T13:32:40Z en
dc.date.available 2010-07-15T13:32:40Z en
dc.date.issued 2001 en
dc.identifier.citation Fountas, S., Ioannidid A. & Karanasos M. (2001) "Inflation, Inflation Uncertainty, and a Common European Monetary Policy" (Working Paper No. 0054) Department of Economics, National University of Ireland, Galway. en
dc.identifier.uri http://hdl.handle.net/10379/1195 en
dc.description.abstract The relationship between inflation and inflation uncertainty is investigated in six European Union countries for the period 1960 to 1999. EGARCH models are used to generate a measure of inflation uncertainty and then Granger methods are employed to test for causality between average inflation and inflation uncertainty. In all the European countries, except Germany, inflation significantly raises inflation uncertainty as predicted by Friedman. However, in all countries except the UK, and possibly Italy, inflation uncertainty does not cause negative output effects implying that a common European monetary policy applied by the ECB might not lead to asymmetric real effects via the inflation uncertainty channel. Less robust evidence is found regarding the direction of the impact of a change in inflation uncertainty on inflation. In Germany, the Netherlands, and to a lesser extent Spain, increased inflation uncertainty lowers inflation while in the UK, Italy, and to a lesser extent France, increased inflation uncertainty raises inflation. These results are generally consistent with the existing rankings of Central Bank Independence. en
dc.format application/pdf en
dc.language.iso en en
dc.publisher National University of Ireland, Galway en
dc.relation.ispartofseries working papers;0054 en
dc.subject Economics en
dc.subject EMU en
dc.subject Exponential GARCH en
dc.subject Inflation en
dc.subject Inflation uncertainty en
dc.title Inflation, Inflation Uncertainty, and a Common European Monetary Policy en
dc.type Working Paper en
dc.description.peer-reviewed peer-reviewed en

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