Time‐Varying Relationship between Inflation and Inflation Uncertainty
研究了通胀与通胀不确定性之间的关系是否随时间变化，以及这种变化是渐进的还是突变的。通过改进的时变参数随机波动均值模型，分析了美国、德国等九国的数据，发现关系显著时变，且美国存在突变，加拿大和新西兰在1990年代初实施通胀目标制后相关性减弱。
Abstract This paper investigates whether the relationship between inflation and inflation uncertainty has changed and whether the change in this relationship has been gradual or abrupt. We extend the time‐varying parameter with stochastic volatility in mean model (TVP‐SVM) to include a mixture innovation disturbance in the time‐varying parameter process. The proposed model produces more reliable estimates and allows us to investigate the occurrence of breaks in the gradually evolving process of the time varying coefficients. Using data of US, Germany, Canada, New Zealand, UK, France, Italy, Spain and Australia, we find that: (i) the relationship between inflation and inflation uncertainty substantially varies over time; (ii) there is strong support for the existence of abrupt changes in the US inflation–inflation uncertainty relationship; (iii) our empirical results of Canada and New Zealand show that the correlation between inflation and inflation uncertainty has been much weaker since early 1990s, which coincides with the timing of the implementation of inflation targeting.