Inflation and Uncertainty: Does the EMS P a rticipation Play Any Role?
AffiliationUniversity of Macedonia
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AbstractThis paper examines whether European Monetary System (EMS) member - ship has affected the link between inflation and inflation uncertainty. ARCH measures of conditional inflation volatility and Granger-causality tests for nine OECD countries over the period 1980-1994 indicate that in non-EMS coun - tries -in these countries a monetary target seems to have been closely followedinflation seems to determine the behaviour of inflation uncert a i n t y. By con - trast, in EMS countries – these countries have geared their monetary policies to an exchange rate target – inflation seems to have no impact on inflation uncertainty. This finding is probably due first, to the absence of any institution - al restriction that characterises non-EMS membership, on the manner the monetary policy is pursued, and second, to the fact that under a monetary rule, any institutional or regulatory changes in the monetary sector are expected to fall more adversely upon inflation as well as inflation uncertainty.
CitationApergis, N., (1998). 'Inflation and Uncertainty: Does the EMS Participation Play Any Role?' Journal of Economic Integration, 14(4) pp.586-605.
JournalJournal of Economic Integration
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