| Revista: | Journal of applied economics |
| Base de datos: | CLASE |
| Número de sistema: | 000423951 |
| ISSN: | 1667-6726 |
| Autors: | Castillo, Paúl1 Humala, Alberto1 Tuesta, Vicente2 |
| Institucions: | 1Universidad del Pacífico, Escuela de Posgrado, Lima. Perú 2Pontificia Universidad Católica del Perú, CENTRUM Graduate Business School, Lima. Perú |
| Any: | 2012 |
| Període: | May |
| Volum: | 15 |
| Número: | 1 |
| Paginació: | 71-87 |
| País: | Argentina |
| Idioma: | Inglés |
| Tipo de documento: | Artículo |
| Enfoque: | Aplicado |
| Resumen en inglés | The link between inflation and inflation uncertainty is evaluated using Peruvian data, in a context of changing monetary policies because of regime shifts. A Markov regime-switching heteroskedasticity model that includes unobserved components is used. The model shows how periods of high (low) inflation accompany periods of high (low) short- and long-run uncertainty in inflation. The results of the model also illustrate how, during the recent period of price stability in Peru, both permanent and transitory shocks in inflation show a decrease in volatility. Finally, a time-varying measure of inflation uncertainty is derived from the estimates, giving additional evidence on the positive link between the level of inflation and its uncertainty |
| Disciplines | Economía |
| Paraules clau: | Precios, Economía monetaria, Política económica, Econometría, Incertidumbre, Inflación, Política monetaria, Perú |
| Text complet: | Texto completo (Ver PDF) |
