Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling

Alexandros Kontonikas ()

Public Policy Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

Abstract: This paper examines the relationship between inflation-uncertainty and the impact of inflation targeting using British data over the period 1972-2002. Uncertainty is proxied using the estimated conditional volatility from symmetric, asymmetric, and component GARCH-M models of inflation. The results indicate a positive relationship between past inflation and current uncertainty. We control for the indirect effect of lower average inflation throughout the last decade of inflation targeting and find that the adoption of an explicit target eliminates inflation persistence and reduces long-run uncertainty. Monetary authorities of implicit targeting countries should consider the extra benefits associated with formal targets.

Pages: 21 pages
Date: 2002-11
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.brunel.ac.uk/329/efwps/02-28.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.brunel.ac.uk/329/efwps/02-28.pdf [301 Moved Permanently]--> https://www.brunel.ac.uk/329/efwps/02-28.pdf)

Related works:
Journal Article: Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling (2004)
Working Paper: Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling (2002)
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:bru:bruppp:02-28

Access Statistics for this paper

More papers in Public Policy Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University Brunel University, Uxbridge, Middlesex UB8 3PH, UK.
Bibliographic data for series maintained by John.Hunter ().