This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive conditional heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the U.K. quarterly data from...

The positive relationship between inflation and inflation uncertainty is well supported by empirical evidence in the literature. However, this does not answer the question of whether the inflation causes the inflation uncertainty and vice versa or both in the Granger sense. The empirical...

This study examines the relationship between inflation and inflation uncertainty in the G-7 countries for the period from 1957 to 2001. The causality between the inflation and inflation uncertainty is tested by using the Full Information Maximum Likelihood Method with extended lags. Our results...

This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984–2009. The bulk of previous studies investigating the link between inflation and inflation uncertainty employ Autoregressive...

Turkey has had a high level of inflation since the mid-1970s. Governments use various fiscal and monetary policy tools to control inflation. In addition to these tools, governments also attempt to control inflation by regulating the prices of publicly produced goods and services. Governments...

The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean equation capturing the short-term and long-term volatility...