Does inflation uncertainty vary with the level of inflation? / by Allan Crawford and Marcel Kasumovich. : FB3-2/96-9E-PDF
The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation.--Abstract
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Does inflation uncertainty vary with the level of inflation? / by Allan Crawford and Marcel Kasumovich. |
| Series title | Bank of Canada working paper1701-9397[96-9?] |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation."--Abstract. The ISBN (0-662-24986-0) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada August 1996. |
| Description | 54p.graphs, references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
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| Subject terms | Inflation |