Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Cakan, Esin - 2011
This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and … significant impact, except for Japan, nonparametric estimates show that inflation uncertainty raises average inflation in all … autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence …