On the Nonlinear Causality between Inflation and Inflation Uncertainty in the G3 Countries

@inproceedings{Balcilar2011OnTN,
  title={On the Nonlinear Causality between Inflation and Inflation Uncertainty in the G3 Countries},
  author={Mehmet Balcilar and Zeynel Abidin Ozdemir and Esin Cakan},
  year={2011}
}
This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and the UK by employing linear and nonlinear Granger causality tests for the 1957:01-2006:10 period. Using a generalised autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence from the linear and nonlinear Granger causality tests indicate a bidirectional causality between the series. The estimates from both… CONTINUE READING

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