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Variability and inflation: Evidence from developed and developing countries

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  • Edmonds, Radcliffe Jr.
  • So, Jacky C.

Abstract

Variations of a reduced-form equation for inflation determination are specified with ARCH processes for 34 countries. Results of testing for and estimation of the ARCH specifications show significant results in nearly half, but in five of those, tests suggest the presence of an AR(4) process which may invalidate the test for ARCH. Use of predicted conditional standard deviations of inflation, rather than the unconditional measure used previously, shows no evidence of a correlation of variability and inflation.

Suggested Citation

  • Edmonds, Radcliffe Jr. & So, Jacky C., 1993. "Variability and inflation: Evidence from developed and developing countries," Journal of Macroeconomics, Elsevier, vol. 15(4), pages 679-708.
    • Handle: RePEc:eee:jmacro:v:15:y:1993:i:4:p:679-708
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    Cited by:

    1. Davis, George & Kanago, Bryce, 1998. "High and Uncertain Inflation: Results from a New Data Set," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(2), pages 218-230, May.
    2. WenShwo Fang & Stephen Miller & Chih-Chuan Yeh, 2010. "Does a threshold inflation rate exist? Quantile inferences for inflation and its variability," Empirical Economics, Springer, vol. 39(3), pages 619-641, December.
    3. Edmonds, Radcliffe Jr. & So, Jacky Y. C., 2004. "Is exchange rate volatility excessive? An ARCH and AR approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 122-154, February.
    4. dogru, bulent, 2014. "Inflation and Inflation Uncertainty in Turkey," MPRA Paper 61384, University Library of Munich, Germany.
    5. Davis, George K & Kanago, Bryce E, 2000. "The Level and Uncertainty of Inflation: Results from OECD Forecasts," Economic Inquiry, Western Economic Association International, vol. 38(1), pages 58-72, January.
    6. Chih-Chuan Yeh & Kuan-Min Wang & Yu-Bo Suen, 2011. "A quantile framework for analysing the links between inflation uncertainty and inflation dynamics across countries," Applied Economics, Taylor & Francis Journals, vol. 43(20), pages 2593-2602.

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