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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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publications.gc.ca/pub?id=9.571656&sl=1

Renseignements sur la publication
Ministère/Organisme
  • Bank of Canada.
TitreDoes inflation uncertainty vary with the level of inflation? / by Allan Crawford and Marcel Kasumovich.
Titre de la série
  • Bank of Canada working paper 1701-9397 [96-9?]
Type de publicationMonographie - Voir l'enregistrement principal
Langue[Anglais]
FormatTexte numérique
Document électronique
Autres formats offertsTexte matériel-[Anglais]
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.
Information sur la publication
  • Ottawa - Ontario : Bank of Canada August 1996.
Description54p.graphs, references, tables
ISSN1701-9397
Numéro de catalogue
  • FB3-2/96-9E-PDF
Descripteurs
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