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dc.contributor.authorFountas, Stilianosen
dc.date.accessioned2010-07-15T13:35:30Zen
dc.date.available2010-07-15T13:35:30Zen
dc.date.issued2000en
dc.identifier.citationFountas, 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.urihttp://hdl.handle.net/10379/1199en
dc.description.abstractWe 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.formatapplication/pdfen
dc.language.isoenen
dc.publisherNational University of Ireland, Galwayen
dc.relation.ispartofseriesworking papers;0047en
dc.subjectEconomicsen
dc.subjectInflationen
dc.subjectInflation uncertaintyen
dc.subjectGARCH-Men
dc.titleA GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedbacken
dc.typeWorking Paperen
dc.description.peer-reviewedpeer-revieweden
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