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标题：Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries
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作者：Dejan Živkov ; Jovan Njegic ; Marko Pecanac 等
期刊名称：Baltic Journal of Economics
印刷版ISSN：1406-099X
出版年度：2014
卷号：14
期号：1-2
页码：124-139
DOI：10.1080/1406099X.2014.993831
出版社：EuroBaltic Centres of Excellence; CEEOL
摘要：This paper explores bidirectional linkage between inﬂation and its uncertainty by observing monthly data of 11 Eastern European countries. The methodological approach comprises two steps. First, inﬂation uncertainty series have been created by choosing an optimal Generalized Autoregressive Conditional Heteroskedasticity- (GARCH) type model. Subsequently, inﬂation and inﬂation uncertainty have been observed together by two models examining whether Friedman’s and Cukierman–Meltzer’s hypotheses hold for selected Eastern Europe Countries (EEC). Due to the heterogeneous behaviour of some series of inﬂation and inﬂation uncertainty, the unconditional quantile regression estimation technique has been applied because of its robustness to the particular non-normal characteristics and outliers’ presence in the empirical data. According to the ﬁndings, both Friedman’s and Cukierman–Meltzer’s hypotheses have been conﬁrmed primarily for the largest EEC with ﬂexible exchange rate. In contrast, these theories are refuted in smaller, open economies with ﬁrm exchange rate regime
关键词：inﬂation; inﬂation uncertainty; GARCH; quantile regression; Eastern European;countries