期刊名称：Journal of Public Administration, Finance and Law
印刷版ISSN：2285-2204
电子版ISSN：2285-3499
出版年度：2014
卷号：6
期号：2
页码：38-43
语种：English
出版社：Technopress
摘要：This study explores the causality between inflation and inflation uncertainty in Romania using monthly inflation data for the 1996:01-2012:12 period.If inflation uncertainty is defined as being the variance of unpredictable component of inflation then the use of autoregressive conditional heteroskedastic models can capture inflation uncertainty through the conditional variance of inflation.Inflation uncertainty is obtained from a GARCH model,while checking for any structural break in the series we find that there are possible structural breaks.The structural breaks in mean are captured using dummy variables in the AR-GARCH models and the best models are identified using the informational criterion.The influence between inflation uncertainty and inflation is tested using Granger causality.We find bidirectional causality between inflation and inflation uncertainty.
