Since 2014
Inflation Uncertainty in Chile: Asymmetries and the News Impact Curve
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Inflation Uncertainty in Chile: Asymmetries and the News Impact Curve
Inflation Uncertainty in Chile: Asymmetries and the News Impact Curve |
|
| Creator |
Johnson, Christian A.
|
|
| Description |
This article presents a historical analysis of inflation in Chile from 1933 to 2001, estimating generalized autoregressive heteroskedasticity models, including asymmetric extensions such as the Threshold, Quadratic and Box-Cox models. Traditional symmetric models accept the Friedman hypothesis establishing that inflation increases uncertainty. However, a more general class of asymmetric models rejects this hypothesis. This result is not valid for the asymmetric Box-Cox non linear model. Furthermore, we found that high levels of uncertainty in inflation increase the level of inflation with some lags, not rejecting the positive correlation established by Cukierman and Metzler. The News Impact Curve reflects those asymmetries.
This article presents a historical analysis of inflation in Chile from 1933 to 2001, estimating generalized autoregressive heteroskedasticity models, including asymmetric extensions such as the Threshold, Quadratic and Box-Cox models. Traditional symmetric models accept the Friedman hypothesis establishing that inflation increases uncertainty. However, a more general class of asymmetric models rejects this hypothesis. This result is not valid for the asymmetric Box-Cox non linear model. Furthermore, we found that high levels of uncertainty in inflation increase the level of inflation with some lags, not rejecting the positive correlation established by Cukierman and Metzler. The News Impact Curve reflects those asymmetries |
|
| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
|
|
| Contributor |
—
— |
|
| Date |
2010-03-01
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
|
| Format |
application/pdf
|
|
| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/12
|
|
| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 17, No 1 (2002); 3-20
Revista de Análisis Económico – Economic Analysis Review; Vol 17, No 1 (2002); 3-20 0718-8870 0716-5927 |
|
| Language |
eng
|
|
| Relation |
http://www.rae-ear.org/index.php/rae/article/view/12/24
|
|