| Journal: | Journal of applied economics |
| Database: | CLASE |
| System number: | 000423951 |
| ISSN: | 1667-6726 |
| Authors: | Castillo, Paúl1 Humala, Alberto1 Tuesta, Vicente2 |
| Institutions: | 1Universidad del Pacífico, Escuela de Posgrado, Lima. Perú 2Pontificia Universidad Católica del Perú, CENTRUM Graduate Business School, Lima. Perú |
| Year: | 2012 |
| Season: | May |
| Volumen: | 15 |
| Number: | 1 |
| Pages: | 71-87 |
| Country: | Argentina |
| Language: | Inglés |
| Document type: | Artículo |
| Approach: | Aplicado |
| English abstract | 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 |
| Keyword: | Precios, Economía monetaria, Política económica, Econometría, Incertidumbre, Inflación, Política monetaria, Perú |
| Full text: | Texto completo (Ver PDF) |
