Regime shifts and inflation uncertainty in Peru

Paúl Castillo, Alberto Humala, Vicente Tuesta

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

5 Citas (Scopus)


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. © 2012 Universidad del CEMA.
Idioma originalEspañol
Páginas (desde-hasta)71-87
Número de páginas17
PublicaciónJournal of Applied Economics
EstadoPublicada - 1 ene. 2012

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