The relationship between inflation and inflation uncertainty is investigated in six European Union countries for the period 1960-99. Exponential generalized autoregressive conditional heteroscedasticity models are used to generate a measure of inflation uncertainty and then Granger methods are...

In a simple New Keynesian model, we derive a closed form solution for the inflation persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the...

In a simple New Keynesian model, we derive a closed form solution for the inflation-gap persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the...

Die «Einleitenden Bemerkungen» des Präsidenten der Europäischen Zentralbank (EZB) im Rahmen der monatlichen Pressekonferenz werden weltweit mit grosser Aufmerksamkeit verfolgt. Sowohl die anwesenden Journalisten als auch die online zugeschalteten Ökonomen und Analysten verfolgen jedes Wort...

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the...

In a simple New Keynesian model, we derive a closed form solution for the inflationpersistence parameter as a function of the policy weights in the central bank’s Taylorrule. By estimating the time-varying weights that the FED attaches to inflationand the output gap, we show that the...

We examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. The unobservable inflation uncertainty is quantified by means of the slowly evolving long-term variance component of inflation in the framework of the...