کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7356275 1478228 2012 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
REGIME SHIFTS AND INFLATION UNCERTAINTY IN PERU
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
REGIME SHIFTS AND INFLATION UNCERTAINTY IN PERU
چکیده انگلیسی
The link between inflation and inflation uncertainty is evaluated using Peruvian data, in a context of changing monetary policies because of regime shifts. A Markov regime-switching heteroskedasticity model that includes unobserved components is used. The model shows how periods of high (low) inflation accompany periods of high (low) short- and long-run uncertainty in inflation. The results of the model also illustrate how, during the recent period of price stability in Peru, both permanent and transitory shocks in inflation show a decrease in volatility. Finally, a time-varying measure of inflation uncertainty is derived from the estimates, giving additional evidence on the positive link between the level of inflation and its uncertainty.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Applied Economics - Volume 15, Issue 1, May 2012, Pages 71-87
نویسندگان
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