Viorica Daniela, Jemna Danut, Pintilescu Carmen, Asandului Mircea
Faculty of Economics and Business Administration, Alexandru Ioan Cuza University of Iasi, Iasi, Romania.
PLoS One. 2014 Mar 14;9(3):e91164. doi: 10.1371/journal.pone.0091164. eCollection 2014.
The objective of this paper is to verify the hypotheses presented in the literature on the causal relationship between inflation and its uncertainty, for the newest EU countries. To ensure the robustness of the results, in the study four models for inflation uncertainty are estimated in parallel: ARCH (1), GARCH (1,1), EGARCH (1,1,1) and PARCH (1,1,1). The Granger method is used to test the causality between two variables. The working hypothesis is that groups of countries with a similar political and economic background in 1990 and are likely to be characterized by the same causal relationship between inflation and inflation uncertainty. Empirical results partially confirm this hypothesis.
C22, E31, E37.
本文的目的是验证文献中提出的关于最新加入欧盟国家通货膨胀与其不确定性之间因果关系的假设。为确保结果的稳健性，本研究同时估计了四种通货膨胀不确定性模型：ARCH(1)、GARCH(1,1)、EGARCH(1,1,1)和PARCH(1,1,1)。采用格兰杰方法检验两个变量之间的因果关系。工作假设是，1990年具有相似政治和经济背景的国家组可能具有相同的通货膨胀与通货膨胀不确定性之间的因果关系。实证结果部分证实了这一假设。
JEL分类：C22、E31、E37。
