A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback
Stilianos Fountas,
Menelaos Karanasos (menelaos.karanasos@brunel.ac.uk) and
Marika Karanassou (m.karanassou@qmul.ac.uk)
Discussion Papers from Department of Economics, University of York
Abstract:
We examine the relationship between inflation and inflation uncertainty using a GARCH model that allows for simultaneous feedback between the conditional mean and variance of inflation. We also derive a number of theoretical econometric results and illustrate the relevance of these results with an empirical example of the US monthly inflation process. Our results show that there is strong evidence in favour of a positive bi-directional relationship between inflation and inflation uncertainty in agreement with the predictions of economic theory.
Keywords: Inflation; Inflation Uncertainty; GARCH-M. (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (20)
Downloads: (external link)
https://www.york.ac.uk/media/economics/documents/discussionpapers/2000/0024.pdf (application/pdf)
Related works:
Working Paper: A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback (2000) ![Downloads](/downloads_econpapers.gif)
Working Paper: A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback (2000) ![Downloads](/downloads_econpapers.gif)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:00/24
Access Statistics for this paper
More papers in Discussion Papers from Department of Economics, University of York Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Paul Hodgson (paul.hodgson@york.ac.uk).