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Inflation, inflation uncertainty, and relative price dispersion: Evidence from bivariate GARCH-M models

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Author Info
Grier, Kevin B.
Perry, Mark J.

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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 38 (1996)
Issue (Month): 2 (October)
Pages: 391-405
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Handle: RePEc:eee:moneco:v:38:y:1996:i:2:p:391-405

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Web page: http://www.elsevier.com/locate/inca/505566

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  1. Francis Vitek, 2002. "An Empirical Analysis of Dynamic Interrelationships Among Inflation, Inflation Uncertainty, Relative Price Dispersion, and Output Growth," Working Papers 02-39, Bank of Canada. [Downloadable!]
  2. Menelaos Karanasos, . "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York. [Downloadable!]
  3. María Ángeles Caraballo & Carlos Dabús., 2008. "The Determinants of Relative Price Variability: Further Evidence from Argentina," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 235-255. [Downloadable!]
  4. Juliane Scharff & Sven Schreiber, 2008. "Evidence on the effects of inflation on price dispersion under indexation," IMK Working Paper 12-2008, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute. [Downloadable!]
  5. David C. Parsley & Helen A. Popper, 2004. "Aggregate Price Changes and Dispersion: A Comparison of the Equity and Goods and Services Markets," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
  6. David Parsley Helen Popper, 2002. "Inflation And Price Dispersion In Equity Markets And In Goods And Services Markets," Macroeconomics 0211004, EconWPA. [Downloadable!]
  7. André Binette & Sylvain Martel, 2005. "Inflation and Relative Price Dispersion in Canada: An Empirical Assessment," Working Papers 05-28, Bank of Canada. [Downloadable!]
  8. Kevin B. Grier & Mark J. Perry, 2000. "The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 45-58. [Downloadable!]
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