Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model
AbstractThis paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects output variability positively, while output variability has a negative effect on inflation uncertainty.
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Bibliographic InfoPaper provided by University of Heidelberg, Department of Economics in its series Working Papers with number 0475.
Length: 7 pages
Date of creation: Sep 2008
Date of revision: Sep 2008
Bivariate GARCH process; negative volatility feedback; inflation uncertainty; output variability;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-13 (All new papers)
- NEP-CBA-2008-10-13 (Central Banking)
- NEP-ETS-2008-10-13 (Econometric Time Series)
- NEP-MAC-2008-10-13 (Macroeconomics)
- NEP-MON-2008-10-13 (Monetary Economics)
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