IDEAS home Printed from https://ideas.repec.org/p/fip/fedgfe/141.html
   My bibliography  Save this paper

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

Author

Listed:
  • Allan D. Brunner
  • Gregory D. Hess

Abstract

Milton Friedman (1977) proposed that there is a positive relationship between inflation and inflation uncertainty. Using state-dependent models of conditional moments, the authors find strong statistical evidence that higher levels of inflation are less predictable, although innovations in inflation are somewhat bet ter predictors of future volatility than actual inflation. The authors' results are robust to different sample periods and to assumptions about a unit root in inflation. The authors also compare their resul ts to estimates using exponential generalized autoregressive conditiona l heteroskedasticity models, an alternative to state dependent models that also allows for asymmetries but does not nest conventional models.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Allan D. Brunner & Gregory D. Hess, 1990. "Are higher levels of inflation less predictable? A state-dependent conditional heteroskedasticity approach," Finance and Economics Discussion Series 141, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:141
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    More about this item

    Keywords

    Inflation (Finance);

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgfe:141. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ryan Wolfslayer ; Keisha Fournillier (email available below). General contact details of provider: https://edirc.repec.org/data/frbgvus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.