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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/73911
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| Title: | Evidence of a nonlinear relationship between inflation and inflation uncertainty: The case of the four little dragons |
| Authors: | Shen, Chung-Hua;Chen, Shyh-Wei;Xie, Zixiong
沈中華 |
| Contributors: | 金融系 |
| Keywords: | Inflation;Inflation uncertainty;Nonlinear;Flexible regression model |
| Date: | 2008 |
| Issue Date: | 2015-03-18 14:49:24 (UTC+8) |
| Abstract: | Using a nonlinear flexible regression model for four economies in east Asia, we re-examine two hypotheses in light of the causal relationship between inflation and inflation uncertainty. The first, proposed by Friedman [Friedman, M. (1977). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85, 451–472], postulates that increased inflation raises inflation uncertainty. Conversely, the second, put forth by Cukierman and Meltzer [Cukierman, A., & Meltzer, A. (1986). a theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica, 54, 1099–1128], propounds that a high level of inflation uncertainty leads to a higher rate of inflation. Here, except for Hong Kong, overwhelming statistical evidence is found in favor of Friedman`s hypothesis. The nonlinearity displays a U-shaped pattern, strongly implying that, indeed, a high rate of inflation or deflation results in high inflation uncertainty. At the same time, however, convincing evidence is found for Cukierman–Meltzer`s hypothesis in favor of all four economies. Although Taiwan has an inverted U-shape, Hong Kong, Singapore and South Korea show a positive relation, thus agreeing with Cukierman–Meltzer`s hypothesis. |
| Relation: | Journal of Policy Modeling - J POLICY MODELING , vol. 30, no. 2, pp. 363-376 |
| Data Type: | article |
| DOI 連結: | http://dx.doi.org/10.1016/j.jpolmod.2007.01.007 |
| DOI: | 10.1016/j.jpolmod.2007.01.007 |
| Appears in Collections: | [金融學系] 期刊論文
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| S0161893807000610.pdf | | 489Kb | Adobe PDF2 | 728 | View/Open |
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