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Seasonal Patterns of Inflation Uncertainty for the US Economy: An EGARCH Model Results

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  • Hakan Berument
  • Nezir Kose
  • Afsin Sahin

Abstract

The 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.

Suggested Citation

  • Hakan Berument & Nezir Kose & Afsin Sahin, 2010. "Seasonal Patterns of Inflation Uncertainty for the US Economy: An EGARCH Model Results," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(1 & 2), pages 7-22, February .
  • Handle: RePEc:icf:icfjmo:v:08:y:2010:i:1&2:p:7-22
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