Inflation and Inflation Volatility Revisited
Inflation and Inflation Volatility Revisited
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重新审视通货膨胀和通货膨胀波动性
DOI：
10.1111/j.1468-2362.2013.12001.x
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发表时间：
2012
影响因子：
1.2
通讯作者：
S. Lin
中科院分区：
文献类型：
--
作者：
Donghyeon Kim;S. Lin
通货膨胀和它的可变性之间的联系一直是一个相当感兴趣和争议的话题，理论上的分歧和不确定的实证结果。经验问题往往产生于内生性和反向因果关系。本文重新评估的联系，通过一个系统的联立方程，解决了反向因果关系的问题。采用异方差识别方法作为识别策略，并使用1960-2007年期间的105个国家的面板，我们发现通货膨胀和其可变性之间的双向互动。特别是，更高的通货膨胀会增加通货膨胀的波动性，这符合弗里德曼-鲍尔假说。此外，与Cukierman-Meltzer的观点一致，更大的通胀波动会助长通胀。证据对替代模型规格、时间段和国家特征都是稳健的。
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.
影响因子：
6.1
作者：
CUKIERMAN, A;MELTZER, AH
通讯作者：
MELTZER, AH