Causal relations between inflation and inflation uncertainty—Cross sectional evidence in favour of the Friedman-Ball hypothesis |
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| Authors: | Matthias Hartmann Helmut Herwartz |
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| Affiliation: | Christian-Albrechts-Universität zu Kiel, Institute of Statistics and Econometrics, Olshausenstraße 40-60, 24118 Kiel, Germany |
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| Abstract: | We test for causality between inflation and its associated uncertainty by means of both in-sample and out-of-sample modelling. Our findings indicate that the impact of inflation on inflation uncertainty is more pronounced than the reverse causal effect. |
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| Keywords: | C52 C53 E37 E52 |
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