Abstract

ROSAS ROJAS, Eduardo  and  LOPEZ GONZALEZ, Teresa. Inflation and inflation uncertainty: The position of the Bank of Mexico, 1969-2017. Finanz. polit. econ. [online]. 2018, vol.10, n.2, pp.349-372. ISSN 2248-6046.  https://doi.org/10.14718/revfinanzpolitecon.2018.10.2.6.

This research paper examines the relationship between inflation and inflation uncertainty for the Mexican economy during the period from January 1969 to February 2017. Using SARMA-GARCH models and their extensions (GJR-GARCH-M and E-GARCH-M), the study evidenced a negative causal effect of financial uncertainty on inflation (compliance with Holland's hypothe -sis), which indicates that the Bank of Mexico exhibits a stabilizing behavior in relation to inflation. It also confirms the fulfillment of the Friedman-Ball hypothesis, which states that high levels of inflation increase inflation uncertainty.

Keywords : asymmetric effects; Central Bank; inflation; inflation uncertainty.

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