Tsyplakov, Alexander (2010): The links between inﬂation and inﬂation uncertainty at the longer horizon.

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Abstract
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 twoyearsahead horizon is derived from a timeseries model of inﬂation with timevarying parameters by means of Monte Carlo simulations. This indicator is compared to other uncertainty measures, with the short forecast horizon and based on simpler GARCHtype 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.
Item Type:  MPRA Paper 

Original Title:  The links between inﬂation and inﬂation uncertainty at the longer horizon 
Language:  English 
Keywords:  inﬂation uncertainty, inﬂation forecasting, Okun–Friedman hypothesis, nonlinear state space models, scoring rules 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C29  Other C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E31  Price Level ; Inflation ; Deflation E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E52  Monetary Policy C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  26908 
Depositing User:  Alexander Tsyplakov 
Date Deposited:  22 Nov 2010 19:34 
Last Modified:  01 Oct 2019 22:43 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/26908 