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Inflation, Inflation Uncertainty, and a Common European Monetary Policy
(National University of Ireland, Galway, 2001)
The relationship between inflation and inflation uncertainty is investigated in six European Union countries for the period 1960 to 1999. EGARCH models are used to generate a measure of inflation uncertainty and then Granger ...
A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback
(National University of Ireland, Galway, 2000)
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 ...