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A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback

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dc.contributor.author Fountas, Stilianos en
dc.date.accessioned 2010-07-15T13:35:30Z en
dc.date.available 2010-07-15T13:35:30Z en
dc.date.issued 2000 en
dc.identifier.citation Fountas, S., Karanasos, M., Karanassou, M. (2000) "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback" (Working Paper No. 0047) Department of Economics, National University of Ireland, Galway. en
dc.identifier.uri http://hdl.handle.net/10379/1199 en
dc.description.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. en
dc.format application/pdf en
dc.language.iso en en
dc.publisher National University of Ireland, Galway en
dc.relation.ispartofseries working papers;0047 en
dc.subject Economics en
dc.subject Inflation en
dc.subject Inflation uncertainty en
dc.subject GARCH-M en
dc.title A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback en
dc.type Working Paper en
dc.description.peer-reviewed peer-reviewed en

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