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Are higher levels of inflation less predictable? A state-dependent conditional heteroskedasticity approach

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Author Info
Allan D. Brunner
Gregory D. Hess

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Abstract

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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 141.

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Date of creation: 1990
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Handle: RePEc:fip:fedgfe:141

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Keywords: Inflation (Finance);

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  1. Menelaos Karanasosa & Stefanie Schurer, 2007. "Is the Relationship Between Inflation and its Uncertainty Linear?," Ruhr Economic Papers 0018, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
  2. Crawford, A & Kasumovich, M, 1996. "Does Inflation Uncertainty Vary with the Level of Inflation?," Working Papers 96-09, Bank of Canada. [Downloadable!]
  3. Allan D. Brunner, 1994. "On the dynamic properties of asymmetric models of real GNP," International Finance Discussion Papers 489, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  4. da Silva Filho, Tito Nícias Teixeira, 2005. "Is There Too Much Certainty When Measuring Uncertainty," MPRA Paper 16383, University Library of Munich, Germany. [Downloadable!]
  5. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro and Inflation Uncertainty in the European Monetary Union," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  6. Sharon Kozicki & Barak Hoffman, 1999. "Implications of rounding and rebasing for empirical analysis using consumer price inflation," Research Working Paper 99-08, Federal Reserve Bank of Kansas City. [Downloadable!]
  7. Mustafa Caglayan & Feng Jiang, 2006. "Reexamining the linkages between inflation and output growth: A bivariate ARFIMA-FIGARCH approach," Working Papers 2006_8, Department of Economics, University of Glasgow. [Downloadable!]
  8. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research. [Downloadable!]
  9. Kenneth S. Rogoff, 2003. "Globalization and global disinflation," Proceedings, Federal Reserve Bank of Kansas City, pages 77-112. [Downloadable!]
  10. 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!]
  11. Christopher F. Baum & John Barkoulas & Mustafa Caglayan, 1996. "Persistence in International Inflation Rates," Boston College Working Papers in Economics 333., Boston College Department of Economics. [Downloadable!]
    Other versions:
  12. Stilianos Fountas & Alexandra Ioannidis & Menelaos Karanasos, 2004. "Inflation, inflation uncertainty, and a common European Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2003 30, Money Macro and Finance Research Group. [Downloadable!]
    Other versions:
  13. A. Kontonikas, 2002. "Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling," Economics and Finance Discussion Papers 02-28, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  14. Dongsoon Park, 1995. "Inflation And Uncertainty: The Case Of Korea," International Economic Journal, Korean International Economic Association, vol. 9(1), pages 39-52, April. [Downloadable!] (restricted)
  15. Allan D. Brunner & David P. Simon, 1995. "Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach," International Finance Discussion Papers 522, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  16. Guglielmo maria Coporale & Alexandros Kontonikas, 2006. "The EURO and Inflation Uncertainty In The EMU," Working Papers 2005_13, Department of Economics, University of Glasgow. [Downloadable!]
  17. Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers) 0698, Department of Economics - dECON. [Downloadable!]
  18. André Binette & Sylvain Martel, 2005. "Inflation and Relative Price Dispersion in Canada: An Empirical Assessment," Working Papers 05-28, Bank of Canada. [Downloadable!]
  19. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Banco de España Working Papers 0812, Banco de España. [Downloadable!]
    Other versions:
  20. Tsyplakov Alexander, 2001. "Does Lower Inflation Imply Lower Price Uncertainty?," EERC Working Paper Series 2k-06e, EERC Research Network, Russia and CIS. [Downloadable!]
  21. Eric Schaling & Marco Hoeberichts & Sylvester Eijffinger, . "Incentive schemes for central bankers under uncertainty: inflation targets versus contracts," Bank of England working papers 88, Bank of England. [Downloadable!]
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