Article1991

Discovering the Link Between Inflation Rates and Inflation Uncertainty

176 citations0/0 files storedJournal of money credit and banking

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Monetary Policy and Economic Impact Market Dynamics and Volatility Economic theories and models

Abstract

A new time-series model is used to reassess the strength of the link between inflation uncertainty and the level of inflation in the United States. The model provides several statistical measures that can be used to examine different aspects of uncertainty. The main finding is that uncertainty about the long rather than short-term prospects for inflation moved strongly with the rate of inflation since the early 1970s. Copyright 1991 by Ohio State University Press.

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References

1987Time Series Regression with a Unit Root 1980Aggregate Dynamics and Staggered Contracts 1977Nobel Lecture: Inflation and Unemployment 1986A Theory of Ambiguity, Credibility, and Inflation under Discretion and Asymmetric Information 1988The New Keynesian Economics and the Output-Inflation Trade-Off 1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model 1992Why does high inflation raise inflation uncertainty?1978Towards an understanding of the real effects and costs of inflation

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