期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2005
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：In this paper, we investigate empirically the relationship between inflation and inflation uncertainty in
twelve EMU countries. We estimate a time-varying parameter model with a GARCH specification for
the conditional volatility of inflation in order to distinguish between short-run (structural and impulse)
and steady-state uncertainty. We then introduce a dummy variable to model the policy regime shift
which occurred in 1999 with the introduction of the Euro, and its effects on the links between inflation
and inflation uncertainty. We find that steady-state inflation has generally remained stable (with the
important exception of Germany, where the trend has become positive), steady-state inflation
uncertainty and inflation persistence have both increased, and the relationship between inflation and
inflation uncertainty has broken down in many countries. These findings cast doubt on the optimistic
view taken by the ECB concerning its success in controlling inflation, and suggest the need for
improvements in its analytical framework.
