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Causal Relationships Between Inflation and Inflation Uncertainty

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  • William A. Barnett

    (Department of Economics, University of Kansas; Center for Financial Stability, New York City; IC2 Institute, University of Texas at Austin)

  • Fredj Jawadi

    (University of Lille, Lille, 104 Avenue du Peuple Blege, 104 Avenue du Peuple Belge, 59043 Lille Cedex, Office B655, France)

  • Zied Ftiti

    (EDC Paris Business School, Paris, France)

Abstract

Since the publication of Friedmanís (1977) Nobel lecture, the relationships between the mean function of the inflation stochastic process and its uncertainty, and between inflation uncertainty (IU) and real output growth have been the subject of much research, with some studies justifying this causality and some reaching the opposite conclusion or finding an inverse correlation between mean inflation and inflation volatility with causation in either direction. We conduct a systematic econometric study of the relationships between the first two moments of the inflation stochastic process and between IU and output growth using state-of-the-art approaches and propose a time-varying inflation uncertainty measure based on stochastic volatility to consider unpredictable shocks. Further, we extend the literature by providing a new econometric specification of this relationship using two semi-parametric approaches: the frequency evolutionary co-spectral approach and continuous wavelet methodology. We theoretically justify their use through an extension of Ball's (1992) model. These frequency approaches have two advantages: they provide the analyses for different frequency horizons and do not impose restriction on the data. While the literature focused on the US data, our study explores these relationships for five major developed and emerging countries/regions (the US, the UK, the euro area, South Africa, and China) over the past five decades to investigate the robustness of our inferences and sources of inconsistencies among prior studies. This selection of countries permits investigation of the inflation versus inflation uncertainty relationship under different hypotheses, including explicit versus implicit inflation targets, conventional versus unconventional monetary policy, independent versus dependent central banks, and calm versus crisis periods. Our findings show a significant relationship between inflation and inflation uncertainty, which varies over time and frequency, and offer an improved comprehension of this ambiguous relationship. The relationship is positive in the short and medium terms during stable periods, confirming the Friedmanñ Ball theory, and negative during crisis periods. Additionally, our analysis identifies the phases of leading and lagging inflation uncertainty. Our general approach nests within it the earlier approaches, permitting explanation of the prior appearances of ambiguity in the relationship and identifies the conditions associated with the various outcomes.

Suggested Citation

  • William A. Barnett & Fredj Jawadi & Zied Ftiti, 2020. "Causal Relationships Between Inflation and Inflation Uncertainty," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202010, University of Kansas, Department of Economics, revised Jul 2020.
  • Handle: RePEc:kan:wpaper:202010
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    Cited by:

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    2. Neil Lawton & Liam A. Gallagher, 2020. "The negative side of inflation targeting: revisiting inflation uncertainty in the EMU," Applied Economics, Taylor & Francis Journals, vol. 52(29), pages 3186-3203, June.
    3. Nicholas Apergis & Umit Bulut & Gulbahar Ucler & Serife Ozsahin, 2021. "The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey," Manchester School, University of Manchester, vol. 89(3), pages 259-275, June.
    4. Jac C. Heckelman & Bonnie Wilson, 2021. "Targeting inflation targeting: the influence of interest groups," Public Choice, Springer, vol. 189(3), pages 533-554, December.
    5. Haryo Kuncoro, 2024. "Inflation and Its Uncertainty: Evidence from Indonesia and the Philippines," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 16(2), pages 231-247, May.
    6. Ravindra H. Dholakia, 2020. "A Theory of Growth and Threshold Inflation with Estimates," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 471-493, September.
    7. Mujtaba Rafid Rafa & Syed Abul Basher, 2024. "An empirical investigation of Bangladesh’s inflation dynamics: evaluating persistence and identifying structural breaks," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
    8. Fuest, Angela & Schmidt, Torsten, 2020. "Inflation expectation uncertainty in a New Keynesian framework," Ruhr Economic Papers 867, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

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    More about this item

    Keywords

    Inflation; Inflation uncertainty; Output growth; Frequency approach; Wavelet; Semi-parametric approach; Stochastic volatility;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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