{"id":273314,"date":"2025-12-01T08:33:25","date_gmt":"2025-12-01T08:33:25","guid":{"rendered":"https:\/\/www.quoniam.com\/general\/inflation-unsicherheit\/"},"modified":"2026-02-13T12:25:32","modified_gmt":"2026-02-13T12:25:32","slug":"inflation-uncertainty","status":"publish","type":"post","link":"https:\/\/www.quoniam.com\/en\/interview\/inflation-uncertainty\/","title":{"rendered":"New research sheds light on the link between inflation and uncertainty"},"content":{"rendered":"\n
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Dr Tamas Barko from Quoniam\u2019s Research team co-authored a paper with Chaoyi Chen (Hungarian National Bank) and Oliv\u00e9r Nagy (E\u00f6tv\u00f6s Lor\u00e1nd University) titled \u201cInflation and Inflation Uncertainty: Evidence from GARCH-MIDAS-in-Mean Modelling\u201d which was published in Financial and Economic Review. The study takes a fresh look at how inflation and uncertainty influence each other, introducing a new model that separates short-term shocks from long-term drivers such as market volatility, yield spreads, and policy uncertainty.<\/p>\n\n\n\n

Can you give us the elevator pitch for your paper?<\/strong><\/p>\n\n\n\n

Sure! We wanted to understand how inflation interacts with the uncertainty surrounding it and whether that relationship changes over time. Earlier studies assumed that the long-term part of uncertainty stays constant, but that\u2019s not how the world works. Our model allows it to move with real economic and financial conditions. When we tested this on UK data from 1972 to 2023, we found that long-term uncertainty is heavily shaped by macro-financial factors like policy uncertainty and market volatility.<\/p>\n\n\n\n

And interestingly, while inflation uncertainty tends to push inflation higher, the reverse effect \u2014 inflation creating more uncertainty \u2014 seems weaker than previously thought once you look at it through this lens.<\/p>\n<\/div><\/div>\n\n\n\n

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Once you let long-term uncertainty move with real economic conditions, the classic link between inflation and uncertainty almost disappears.<\/p>\n\n <\/div>\n <\/div>\n

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Dr<\/span><\/span> Tamas Barko, Quoniam Asset Management<\/span><\/span><\/p>\n\n <\/div>\n <\/div>\n<\/div>\n<\/div><\/div>\n\n\n\n

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Anything that surprised you during the research?<\/strong><\/p>\n\n\n\n

Yes, a couple of things. First, we discovered that the famous \u201cinflation creates uncertainty\u201d story doesn\u2019t hold up once you let long-term uncertainty vary with market and policy conditions. It\u2019s like peeling back layers \u2014 some effects disappear when you model the system more realistically.<\/p>\n\n\n\n

Also, major events such as the VAT cut during the financial crisis or Covid-19 really shift the picture. It shows how quickly structural breaks and policy responses can change the dynamics of inflation and uncertainty.<\/p>\n<\/div><\/div>\n\n\n\n

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What are the main takeaways for policymakers?<\/strong><\/p>\n\n\n\n

Our findings point toward the importance of anchoring long-term uncertainty. That means clear communication, predictable policy rules, and strong coordination between fiscal and monetary authorities. If the long-term piece is stable, short-term inflation spikes become less worrisome. We even suggest building a real-time dashboard of macro-financial indicators \u2014 something policymakers could use to track and manage uncertainty proactively.<\/p>\n<\/div><\/div>\n\n\n\n

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And on a lighter note \u2014 which famous economist would you have loved to debate this with?<\/strong><\/p>\n\n\n\n

Probably Milton Friedman. His view that \u201cinflation breeds uncertainty\u201d was groundbreaking at the time \u2014 I\u2019d love to see what he\u2019d make of modern data and models. I suspect he\u2019d have a few lively counterarguments!<\/p>\n<\/div><\/div>\n\n\n\n

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read the full paper<\/a><\/strong><\/p>\n<\/div><\/div>\n\n\n\n

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Dr Tamas Barko from Quoniam\u2019s Research team co-authored a paper with Chaoyi Chen (Hungarian National Bank) and Oliv\u00e9r Nagy (E\u00f6tv\u00f6s Lor\u00e1nd University) titled \u201cInflation and Inflation Uncertainty: Evidence from GARCH-MIDAS-in-Mean Modelling\u201d which was published in Financial and Economic Review. The study takes a fresh look at how inflation and uncertainty influence each other, introducing a […]<\/p>\n","protected":false},"author":20,"featured_media":273293,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"_seopress_robots_primary_cat":"none","_seopress_titles_title":"New research sheds light on the link between inflation and uncertainty","_seopress_titles_desc":"What truly drives long-term inflation uncertainty? New research shows that it is not short-term shocks, but macro-financial factors such as political uncertainty, market volatility and yield spreads that shape the picture.","_seopress_robots_index":"","footnotes":""},"categories":[92],"tags":[64,86],"class_list":["post-273314","post","type-post","status-publish","format-standard","has-post-thumbnail","category-interview","tag-factor-investing","tag-research"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/posts\/273314","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/users\/20"}],"replies":[{"embeddable":true,"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/comments?post=273314"}],"version-history":[{"count":5,"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/posts\/273314\/revisions"}],"predecessor-version":[{"id":287338,"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/posts\/273314\/revisions\/287338"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/media\/273293"}],"wp:attachment":[{"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/media?parent=273314"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/categories?post=273314"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.quoniam.com\/en\/wp-json\/wp\/v2\/tags?post=273314"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}