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    题名: Nonlinear relationship between inflation and inflation uncertainty in Taiwan
    作者: Shen, Chung-Hua;Chen, Shyh-Wei;Xie, Zixiong
    沈中華
    贡献者: 金融系
    关键词: Inflation Uncertainty;Regression Model
    日期: 2006
    上传时间: 2015-03-23 18:12:00 (UTC+8)
    摘要: Using Taiwan data, the study employs Hamilton's (2001) flexible regression model to investigate the relationship between inflation and inflation uncertainty. The results convincingly support Friedman's hypothesis that a rise in the inflation rate increases inflation uncertainty. This result, however, holds only in a positive inflation regime. When the inflation rate is in a negative inflation regime, one clearly notes that a drop in the inflation rate also increases inflation uncertainty. Thus Friedman's argument is complemented by advocating that a rise in the absolute inflation rate increases inflation uncertainty. Turning to Cukierman-Meltzer's hypothesis, both linear and nonlinear inflation uncertainties affect the inflation rate, where the former has positive but the latter has negative effects.
    關聯: Applied Economics Letters - APPL ECON LETTERS , vol. 13, no. 8, pp. 529-533
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1080/13504850500400405
    DOI: 10.1080/13504850500400405
    显示于类别:[金融學系] 期刊論文

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