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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/73953

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73953

Title:	Nonlinear relationship between inflation and inflation uncertainty in Taiwan
Authors:	Shen, Chung-Hua;Chen, Shyh-Wei;Xie, Zixiong 沈中華
Contributors:	金融系
Keywords:	Inflation Uncertainty;Regression Model
Date:	2006
Issue Date:	2015-03-23 18:12:00 (UTC+8)
Abstract:	Using Taiwan data, the study employs Hamilton`s (2001) flexible regression model to investigate the relationship between inflation and inflation uncertainty. The results convincingly support Friedman`s hypothesis that a rise in the inflation rate increases inflation uncertainty. This result, however, holds only in a positive inflation regime. When the inflation rate is in a negative inflation regime, one clearly notes that a drop in the inflation rate also increases inflation uncertainty. Thus Friedman`s argument is complemented by advocating that a rise in the absolute inflation rate increases inflation uncertainty. Turning to Cukierman-Meltzer`s hypothesis, both linear and nonlinear inflation uncertainties affect the inflation rate, where the former has positive but the latter has negative effects.
Relation:	Applied Economics Letters - APPL ECON LETTERS , vol. 13, no. 8, pp. 529-533
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/13504850500400405
DOI:	10.1080/13504850500400405
Appears in Collections:	[金融學系] 期刊論文

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