The Euro and Inflation Uncertainty in the European Monetary Union

Guglielmo Maria Caporale and Alexandros Kontonikas ()

No 1842, CESifo Working Paper Series from CESifo

Abstract: This paper investigates the relationship between inflation and inflation uncertainty in twelve EMU countries. A time-varying GARCH model is estimated to distinguish between short-run and steady-state inflation uncertainty. The effects of the introduction of the Euro in 1999 are then examined introducing a dummy variable. Overall, it appears that post-1999 steady-state inflation has generally remained stable, steady-state inflation uncertainty and inflation persistence have both increased, and the relationship between inflation and inflation uncertainty has broken down in many countries. When the break dates are determined endogenously, the adjustment is found to have taken place before the introduction of the Euro.

Keywords: inflation; inflation uncertainty; inflation persistence; time-varying parameters; GARCH models; ECB; EMU (search for similar items in EconPapers)
JEL-codes: C22 E31 E52 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp1842.pdf (application/pdf)

Related works:
Journal Article: The Euro and inflation uncertainty in the European Monetary Union (2009)
Working Paper: The Euro and Inflation Uncertainty in the European Monetary Union (2007)
Working Paper: THE EURO AND INFLATION UNCERTAINTY IN THE EUROPEAN MONETARY UNION (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_1842

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().