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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...
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We use a very general bivariate generalized autoregressive conditional heteroskedasticity-in-mean model and G7 monthly data covering the 1957-2003 period to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth. Our evidence supports a number of...
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