This study examines the transmission and response of inflation uncertainty and output uncertainty on inflation and output growth in the UK using a bi-variate EGARCH model. Results suggest that inflation uncertainty has positive and significant effects on inflation before the inflation-targeting...

Employing a multivariate EGARCH-M model, this study investigates the effects of inflation uncertainty and growth uncertainty on inflation and output growth in the United States. Our results show that inflation uncertainty has a positive and significant effect on the level of inflation and a...

Purpose – The purpose of this paper is to establish a link between inflation uncertainty and interest rates for five inflation‐targeting countries. Design/methodology/approach – The approach takes the form of a time‐varying parameter model with a Generalized Autoregressive Conditional...

Australia’s inflation rate and inflation uncertainty during the post-float era 1983Q3-2006Q4 have acted as important barometers of Australia’s macroeconomic performance. The conceptualisation and measurement of the nexus between inflation and inflation uncertainty is subject to complex...