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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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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
  • Working paper 1192-5434 96-9
Type de publicationMonographie - Voir l'enregistrement principal
Langue[Anglais]
FormatTexte matériel
Autres formats offertsTexte numérique-[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.
  • Résumés en français
Information sur la publication
  • Ottawa - Ontario : Bank of Canada 1996.
ReliureSoftcover
Description48p. : figs., references, tables ; 28 cm.
ISSN1192-5434
Numéro de catalogue
  • FB3-2/96-9E
Descripteurs
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