ODNOS INFLACIJE I INFLACIONE NEIZVESTNOSTI: SLUČAJ ZEMALJA KANDIDATA ZA ULAZAK U EU
THE RELATIONSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY: EMPIRICAL EVIDENCE FOR THE CANDIDATE EU COUNTRIES
Author(s): Siniša Miletić, Mirjana StevanovićSubject(s): Politics / Political Sciences, Politics, Economy, National Economy, Supranational / Global Economy, EU-Approach / EU-Accession / EU-Development, Socio-Economic Research
Published by: Centar za ekonomska i finansijska istraživanja
Keywords: inflation; inflation uncertainty; GARCH models; Granger test of causality; Friedman-Ball hypothesis; Cukierman-Meltzer hypothesis
Summary/Abstract: The aim of this study is to analyze the relationship between inflation and inflation uncertainty for the EU candidate countries: Serbia, Montenegro, North Macedonia, Albania and Turkey. Using the GARCH model, inflation uncertainty was assessed for each of the observed countries, with the EGARH model proving to be the best model for all countries. The results of the Granger causality test between inflation and inflation uncertainty showed that inflation affects the growth of inflation uncertainty in the case of Serbia, North Macedonia and Turkey and that the growth of inflation leads to the growth of uncertainty, thus confirming the Friedman-Ball hypothesis. On the other hand, the results showed that inflation uncertainty affects the growth of inflation and that the growth of inflation uncertainty affects the growth of inflation in the case of Serbia, Albania and Montenegro, which is in accordance with Cukierman and Meltzer's hypothesis.
Journal: Akcionarstvo
- Issue Year: 30/2024
- Issue No: 1
- Page Range: 9-26
- Page Count: 18
- Language: Serbian
