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Relative price variability and inflation uncertainty - the UK case

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  • Peijie Wang
  • Ping Wang
  • Neville Topham

Abstract

This study applies the time-varying volatility model to UK GDP deflators and compares it with the traditional inflation uncertainty measurement of relative price variability. The link between relative price variability and time-varying volatility is studied and established. Moreover, inflation uncertainty is found to be highly persistent in duration and plausibly asymmetric to previous shocks at both disaggregate and aggregate levels.

Suggested Citation

  • Peijie Wang & Ping Wang & Neville Topham, 1999. "Relative price variability and inflation uncertainty - the UK case," Applied Economics, Taylor & Francis Journals, vol. 31(12), pages 1531-1539.
    • Handle: RePEc:taf:applec:v:31:y:1999:i:12:p:1531-1539
    DOI: 10.1080/000368499323058
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    References listed on IDEAS

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    1. John E. Golob, 1993. "Inflation, inflation uncertainty, and relative price variability: a survey," Research Working Paper 93-15, Federal Reserve Bank of Kansas City.
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    Cited by:

    1. André Binette & Sylvain Martel, 2005. "Inflation and Relative Price Dispersion in Canada: An Empirical Assessment," Staff Working Papers 05-28, Bank of Canada.

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