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
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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 | Working paper1192-543496-9 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[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. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 1996. |
| Binding | Softcover |
| Description | 48p. : figs., references, tables ; 28 cm. |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Inflation |
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