Bouoiyour, Jamal and Selmi, Refk (2013): Nonlinearities and the nexus between inflation and inflation uncertainty in Egypt: New evidence from wavelets transform framework.
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Abstract
How does inflation uncertainty interact with inflation rate? The purpose of this article is to assess this question in Egypt in a wavelets transform framework. We investigate the direction of causality in the relationship inflationinflation uncertainty by combining component GARCH model, wavelets decomposition and scalebyscale nonlinear causality test. We find a strong evidence in favor of Friedmanball hypothesis in both time domain and the different frequencies. This study succeeds to resolve the inconsistencies and to point a robust nonlinear effect of inflation on inflation uncertainty, which is more intense at high frequency bands than at low ones. We attribute this result to the complexity in predicting how strongly and how quickly prices will respond to monetary policy, the asymmetry between inflation booms and recessions, the incidence of exogenous shocks, the comovement of permanent shocks with inflation and the downward expectations of monetary authorities.
Item Type:  MPRA Paper 

Original Title:  Nonlinearities and the nexus between inflation and inflation uncertainty in Egypt: New evidence from wavelets transform framework 
English Title:  Nonlinearities and the nexus between inflation and inflation uncertainty in Egypt: New evidence from wavelets transform framework 
Language:  English 
Keywords:  Inflation, inflation uncertainty, GARCH, wavelets, nonlinear causality. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles 
Item ID:  52414 
Depositing User:  R. Selmi 
Date Deposited:  23 Dec 2013 08:18 
Last Modified:  29 Sep 2019 11:48 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/52414 
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