Seasonal Patterns of Inflation Uncertainty for the US Economy: An EGARCH Model Results
AbstractThe 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 forecasts and leverage effects. The results indicate that seasonal inflation uncertainty increases in January, April and September and decreases in May, June, July and August.
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Bibliographic InfoArticle provided by IUP Publications in its journal The IUP Journal of Monetary Economics.
Volume (Year): VIII (2010)
Issue (Month): 1 & 2 (February & May)
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