Inflation uncertainty and inflation in the case of Romania, Czech Republic, Hungary, Poland and Turkey

机译：罗马尼亚，捷克共和国，匈牙利，波兰和土耳其的情况下的通胀不确定性与通货膨胀

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Using monthly inflation data spanning from 1996 to 2012 we test the influence between inflation uncertainty [IU] and inflation, the inflation is modeled using the GARCH family models: GARCH, asymmetric GARCH and GARCH in Mean with different distribution, checking for any structural break in the series using the Zivot-Andrews test and PELT algorithm, the structural breaks in mean and variance are captured using dummy variables in the GARCH models, we identify the best models using the informational criterion (Akaike, Schwarz, Log-likelihood). The inflation uncertainty proxy is the conditional volatility from the GARCH family models and the influence between inflation uncertainty and inflation is tested using Granger causality.

机译：使用1996年至2012年的月度通胀数据我们测试通货膨胀不确定性的影响[IU]和通货膨胀，通货膨胀采用GARCH家族模型进行了建模：GARCH，不对称的GARCH和GARCH与不同的分布，检查任何结构休息使用Zivot-Andrews测试和PELT算法的系列，在GARCH模型中使用虚拟变量捕获平均值和方差的结构中断，我们使用信息标准（Akaike，Schwarz，Log-oplifieh）识别最佳模型。通胀不确定性代理是GARCH家族模型的条件波动，使用GRANGER因果关系测试通胀不确定度和通胀之间的影响。

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来源
《Emerging Markets Queries in Finance and Business Conference》|2015年||共10页
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Zapodeanu Daniela; Cociuba Mihail-Ioan; Petris Sorina;
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中图分类金融、银行;
关键词
inflation; inflation uncertainty; causality; GARCH;

机译：通货膨胀;通货膨胀不确定性;因果关系;GARCH;

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Inflation uncertainty and inflation in the case of Romania, Czech Republic, Hungary, Poland and Turkey

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