Inflation and Inflation Volatility Revisited
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Dong-Hyeon | - |
dc.contributor.author | Lin, Shu-Chin | - |
dc.date.accessioned | 2021-09-07T04:59:20Z | - |
dc.date.available | 2021-09-07T04:59:20Z | - |
dc.date.created | 2021-06-14 | - |
dc.date.issued | 2012 | - |
dc.identifier.issn | 1367-0271 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/110882 | - |
dc.description.abstract | The link between inflation and its variability has been a topic of considerable interest and dispute, with theoretical disagreements and inconclusive empirical results. Empirical problems often arise from endogeneity and reverse causality. This paper reassesses the link through a system of simultaneous equations that addresses the reverse causality issue. Employing the identification through heteroskedasticity approach as an identification strategy and using a panel of 105 countries over the period 19602007, we find a two-way interaction between inflation and its variability. In particular, higher inflation increases inflation volatility, which is in line with the Friedman-Ball Hypothesis. Consistent with the Cukierman-Meltzer arguments, moreover, greater inflation volatility fuels inflation. The evidence is robust to alternative model specifications, time periods, and country characteristics. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.subject | UNIT-ROOT TESTS | - |
dc.subject | OUTPUT GROWTH | - |
dc.subject | UNCERTAINTY | - |
dc.subject | OPENNESS | - |
dc.subject | REAL | - |
dc.subject | LONG | - |
dc.title | Inflation and Inflation Volatility Revisited | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Dong-Hyeon | - |
dc.identifier.doi | 10.1111/j.1468-2362.2013.12001.x | - |
dc.identifier.scopusid | 2-s2.0-84874377537 | - |
dc.identifier.wosid | 000315488100004 | - |
dc.identifier.bibliographicCitation | INTERNATIONAL FINANCE, v.15, no.3, pp.327 - 345 | - |
dc.relation.isPartOf | INTERNATIONAL FINANCE | - |
dc.citation.title | INTERNATIONAL FINANCE | - |
dc.citation.volume | 15 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 327 | - |
dc.citation.endPage | 345 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | UNIT-ROOT TESTS | - |
dc.subject.keywordPlus | OUTPUT GROWTH | - |
dc.subject.keywordPlus | UNCERTAINTY | - |
dc.subject.keywordPlus | OPENNESS | - |
dc.subject.keywordPlus | REAL | - |
dc.subject.keywordPlus | LONG | - |
dc.subject.keywordAuthor | Inflation | - |
dc.subject.keywordAuthor | Inflation volatility | - |
dc.subject.keywordAuthor | Simultaneous equations | - |
dc.subject.keywordAuthor | Identification through heteroskedasticity | - |
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