00000nam##2200000za#4500 9.613323 CaOODSP 20211126112846 ta 150406|1996||||xxc||||| f|0| 0 eng|d 1192-5434 CaOODSP eng n-cn--- FB3-2/96-9E Bank of Canada. Does inflation uncertainty vary with the level of inflation? / by Allan Crawford and Marcel Kasumovich. Ottawa - Ontario : Bank of Canada 1996. 48p. : figs., references, tables ; 28 cm. Working paper 1192-5434 96-9 "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 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 Softcover 96-36 1996-09-06 Inflation gcpds Crawford, Allan Kasumovich, Marcel Does inflation uncertainty vary with the level of inflation? / (CaOODSP)9.571656 Working paper, 1192-5434 96-9 (CaOODSP)9.514622