Showing 1 - 10 of 13
This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic variables both in the variance and the mean equations. The...
Persistent link: https://www.econbiz.de/10013004232
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...
Persistent link: https://www.econbiz.de/10012915056
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...
Persistent link: https://www.econbiz.de/10012915115
This study finds that uncertainties in interest rates, commodity prices and money aggregate affect economic outcomes for Germany. Both interest rate and monetary policy uncertainty measures are positively correlated with interest rates, while commodity price uncertainty is negatively correlated...
Persistent link: https://www.econbiz.de/10012915120
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...
Persistent link: https://www.econbiz.de/10012915167
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...
Persistent link: https://www.econbiz.de/10012915171
The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean equation capturing the short-term and long-term volatility...
Persistent link: https://www.econbiz.de/10013147094
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