The level and uncertainty of inflation: results from OECD forecasts |
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Authors: | GK Davis BE Kanago |
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Affiliation: | Miami University, Miami, FL, USA Phone: 513 529 2842 Fax: 513 529 6992 E-mail:;University of Northern Iowa, USA Phone: 319 273 2951 E-mail: |
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Abstract: | There is considerable evidence that inflation variability and the level of inflation are positively related across countries. Evidence of a within-country relation is mixed. Evidence for a significant positive relation comes mostly from studies using some survey measure; contrary evidence comes mostly from studies using regression errors. Our measure of uncertainty is the squared forecast-error from Organization for Economic Cooperation and Development inflation forecasts. Most countries do not exhibit a positive and significant relation. The greatest number of positive coefficients is for relative uncertainty regressed on contemporaneous inflation. |
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