Does inflation uncertainty vary with the level of inflation? / by Allan Crawford and Marcel Kasumovich.: FB3-2/96-9E
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
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.613323&sl=0
| Department/Agency |
|
|---|---|
| Title | Does inflation uncertainty vary with the level of inflation? / by Allan Crawford and Marcel Kasumovich. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Physical text |
| Other formats | Digital text-[English] |
| Note(s) |
|
| Publishing information |
|
| Binding | Softcover |
| Description | 48p. : figs., references, tables ; 28 cm. |
| ISSN | 1192-5434 |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: