Using the Federal Reserve Bank of Atlanta's Business Inflation Expectations (BIE) survey, which has been continuously …

This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis … framework. Autoregressive conditional heteroscedastic models are used to estimate the conditional variability of inflation as a … proxy for risk. With the U.K. quarterly data from 1958:4 to 1994:4, the author finds that both the expected inflation and …

The positive relationship between inflation and inflation uncertainty is well supported by empirical evidence in the … literature. However, this does not answer the question of whether the inflation causes the inflation uncertainty and vice versa … or both in the Granger sense. The empirical evidence provided from the United Kingdom suggests that inflation and …

This study examines the relationship between inflation and inflation uncertainty in the G-7 countries for the period … from 1957 to 2001. The causality between the inflation and inflation uncertainty is tested by using the Full Information … Maximum Likelihood Method with extended lags. Our results suggest that inflation causes inflation uncertainty for all the G-7 …

This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by … using monthly data for the time period 1984–2009. The bulk of previous studies investigating the link between inflation and … inflation uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consider inflation …

This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the … monthly United States data for the time period 1976-2006. In order to investigate the effect of inflation uncertainty … innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture …