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
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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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
Journal: Journal of Applied Economics - Volume 15, Issue 1, May 2012, Pages 71-87
نویسندگان
Paúl Castillo, Alberto Humala, Vicente Tuesta,