Seasonal Patterns of Inflation Uncertainty for the US Economy: An EGARCH Model Results

Hakan Berument (), Nezir Kose and Afsin Sahin

The IUP Journal of Monetary Economics, 2010, vol. VIII, issue 1 & 2, 7-22

Abstract: The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean equation capturing the short-term and long-term volatility forecasts and leverage effects. The results indicate that seasonal inflation uncertainty increases in January, April and September and decreases in May, June, July and August.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjmo:v:08:y:2010:i:1&2:p:7-22

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