https://mpra.ub.uni-muenchen.de/id/eprint/26908 2019-10-01T22:43:21Z info:eu-repo/semantics/descriptiveMetadata https://mpra.ub.uni-muenchen.de/26908/ The links between inflation and inflation uncertainty at the longer horizon Tsyplakov, Alexander C29 - Other C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models E31 - Price Level ; Inflation ; Deflation E52 - Monetary Policy C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes In this paper I examine the Okun–Friedman hypothesis of the link between inflation and inflation uncertainty using historical international data on the monthly CPI. An indicator of inflation uncertainty at the two-years-ahead horizon is derived from a time-series model of inflation with time-varying parameters by means of Monte Carlo simulations. This indicator is compared to other uncertainty measures, with the short forecast horizon and based on simpler GARCH-type models. The analysis convincingly demonstrates that both the longer horizon and changing parameters are important for the regularity. The evidence obtained strongly supports the Okun–Friedman hypothesis both in the time dimension for most countries and across countries. 2010-11-22 MPRA Paper NonPeerReviewed application/pdf en https://mpra.ub.uni-muenchen.de/26908/1/MPRA_paper_26908.pdf Tsyplakov, Alexander (2010): The links between inflation and inflation uncertainty at the longer horizon. en info:eu-repo/semantics/objectFile info:eu-repo/semantics/humanStartPage