Relative price variability and inflation uncertainty - the UK case

Peijie Wang, Ping Wang and Neville Topham

Applied Economics, 1999, vol. 31, issue 12, 1531-1539

Abstract: This study applies the time-varying volatility model to UK GDP deflators and compares it with the traditional inflation uncertainty measurement of relative price variability. The link between relative price variability and time-varying volatility is studied and established. Moreover, inflation uncertainty is found to be highly persistent in duration and plausibly asymmetric to previous shocks at both disaggregate and aggregate levels.

Date: 1999
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DOI: 10.1080/000368499323058

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