期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2012
卷号：2
期号：3
页码：348-356
语种：English
出版社：EconJournals
摘要：This study examines relationship between Inflation and Inflation uncertainty for Pakistan using monthly data over 1957:1-2007:12. ARMA-GARCH model is applied to estimate conditional volatility of inflation. Findings of the study support Friedman-Ball hypothesis for Pakistan as Granger-causality test reveals that inflation affects inflation uncertainty positively. We find no evidence for inflation uncertainty affecting inflation rates as suggested by Cukierman & Meltzer (1986) and only unidirectional relation is evident with causality running from inflation to inflation uncertainty. High volatility persistence for inflation is also confirmed. Results of the study may be useful for policymakers at central bank to devise more efficient monetary policy. Keywords: Friedman-Ball Hypothesis; Inflation Uncertainty; GARCH; Granger Causality JEL Classifications: E0; E23; E31
