GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback.

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.

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Year of publication:	2000
Authors:	Fountas, S. ; Karanasos, M. ; Karanassou, M.
Institutions:	Department of Economics, National University of Ireland
Subject:	INFLATION \| ECONOMIC MODELS \| ECONOMETRICS

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Series:	Department of Economics.
Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669503