Does Inflation Uncertainty Vary with the Level of Inflation?

Allan Crawford and Marcel Kasumovich

Staff Working Papers from Bank of Canada

Abstract: The purpose ot this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation.

Keywords: INFLATION (search for similar items in EconPapers)
JEL-codes: E31 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

Downloads: (external link)
https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-9.pdf

Related works:
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:bca:bocawp:96-09

Access Statistics for this paper

More papers in Staff Working Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().