淡江大學機構典藏:Item 987654321/104321
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    題名: Inflation and Inflation Volatility Revisited
    作者: Kim, Dong-Hyeon;Lin, Shu-Chin
    日期: 2013-02-26
    上傳時間: 2016-01-06 10:55:31 (UTC+8)
    摘要: The link between inflation and its variability has been a topic of considerable interest and dispute, with theoretical disagreements and inconclusive empirical results. Empirical problems often arise from endogeneity and reverse causality. This paper reassesses the link through a system of simultaneous equations that addresses the reverse causality issue. Employing the identification through heteroskedasticity approach as an identification strategy and using a panel of 105 countries over the period 1960–2007, we find a two-way interaction between inflation and its variability. In particular, higher inflation increases inflation volatility, which is in line with the Friedman-Ball Hypothesis. Consistent with the Cukierman-Meltzer arguments, moreover, greater inflation volatility fuels inflation. The evidence is robust to alternative model specifications, time periods, and country characteristics.
    關聯: International Finance 15(3), pp.327–345.
    DOI: 10.1111/j.1468-2362.2013.12001.x
    顯示於類別:[經濟學系暨研究所] 期刊論文

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