Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects output variability positively, while output variability has a negative effect on inflation uncertainty.

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Year of publication:	2008-09
Authors:	Conrad, Christian ; Karanasos, Menelaos
Institutions:	Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften
Subject:	Bivariate GARCH process \| negative volatility feedback \| inflation uncertainty \| output variability

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0475 7 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E31 - Price Level; Inflation; Deflation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005453733