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題名 Evidence of a nonlinear relationship between inflation and inflation uncertainty: The case of the four little dragons 作者 Shen, Chung-Hua;Chen, Shyh-Wei;Xie, Zixiong
沈中華貢獻者 金融系 關鍵詞 Inflation; Inflation uncertainty; Nonlinear; Flexible regression model 日期 2008 上傳時間 18-Mar-2015 14:49:24 (UTC+8) 摘要 Using a nonlinear flexible regression model for four economies in east Asia, we re-examine two hypotheses in light of the causal relationship between inflation and inflation uncertainty. The first, proposed by Friedman [Friedman, M. (1977). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85, 451–472], postulates that increased inflation raises inflation uncertainty. Conversely, the second, put forth by Cukierman and Meltzer [Cukierman, A., & Meltzer, A. (1986). a theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica, 54, 1099–1128], propounds that a high level of inflation uncertainty leads to a higher rate of inflation. Here, except for Hong Kong, overwhelming statistical evidence is found in favor of Friedman`s hypothesis. The nonlinearity displays a U-shaped pattern, strongly implying that, indeed, a high rate of inflation or deflation results in high inflation uncertainty. At the same time, however, convincing evidence is found for Cukierman–Meltzer`s hypothesis in favor of all four economies. Although Taiwan has an inverted U-shape, Hong Kong, Singapore and South Korea show a positive relation, thus agreeing with Cukierman–Meltzer`s hypothesis. 關聯 Journal of Policy Modeling - J POLICY MODELING , vol. 30, no. 2, pp. 363-376 資料類型 article DOI http://dx.doi.org/10.1016/j.jpolmod.2007.01.007 dc.contributor 金融系 dc.creator (作者) Shen, Chung-Hua;Chen, Shyh-Wei;Xie, Zixiong dc.creator (作者) 沈中華 zh_TW dc.date (日期) 2008 dc.date.accessioned 18-Mar-2015 14:49:24 (UTC+8) - dc.date.available 18-Mar-2015 14:49:24 (UTC+8) - dc.date.issued (上傳時間) 18-Mar-2015 14:49:24 (UTC+8) - dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73911 - dc.description.abstract (摘要) Using a nonlinear flexible regression model for four economies in east Asia, we re-examine two hypotheses in light of the causal relationship between inflation and inflation uncertainty. The first, proposed by Friedman [Friedman, M. (1977). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85, 451–472], postulates that increased inflation raises inflation uncertainty. Conversely, the second, put forth by Cukierman and Meltzer [Cukierman, A., & Meltzer, A. (1986). a theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica, 54, 1099–1128], propounds that a high level of inflation uncertainty leads to a higher rate of inflation. Here, except for Hong Kong, overwhelming statistical evidence is found in favor of Friedman`s hypothesis. The nonlinearity displays a U-shaped pattern, strongly implying that, indeed, a high rate of inflation or deflation results in high inflation uncertainty. At the same time, however, convincing evidence is found for Cukierman–Meltzer`s hypothesis in favor of all four economies. Although Taiwan has an inverted U-shape, Hong Kong, Singapore and South Korea show a positive relation, thus agreeing with Cukierman–Meltzer`s hypothesis. dc.format.extent 501565 bytes - dc.format.mimetype application/pdf - dc.relation (關聯) Journal of Policy Modeling - J POLICY MODELING , vol. 30, no. 2, pp. 363-376 dc.subject (關鍵詞) Inflation; Inflation uncertainty; Nonlinear; Flexible regression model dc.title (題名) Evidence of a nonlinear relationship between inflation and inflation uncertainty: The case of the four little dragons dc.type (資料類型) article en dc.identifier.doi (DOI) 10.1016/j.jpolmod.2007.01.007 en_US dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.jpolmod.2007.01.007 en_US
