GARCH model of inflation and inflation uncertainty with simultaneous feedback
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GARCH model of inflation and inflation uncertainty with simultaneous feedback by Stilianos Fountas

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Published by Department of Economics, National University of Ireland, Galway in [Galway] .
Written in English


Book details:

Edition Notes

StatementStilianos Fountas, Menelaos Karanasos, Marika Karanassou.
SeriesWorking papers / National University of Ireland, Galway. Department of Economics -- no.47, Working paper series (National University of Ireland, Galway. Department of Economics) -- No. 47.
ContributionsKaranasos, Menelaos., Karanassou, Marika., National University of Ireland, Galway. Department of Economics.
The Physical Object
Pagination33 p. ;
Number of Pages33
ID Numbers
Open LibraryOL18545500M

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Downloadable! We examine the relationship between inflation and inflation uncertainty using a GARCH model that allows for simultaneous feedback between the conditional mean and variance of inflation. We also derive a number of theoretical econometric results and illustrate the relevance of these results with an empirical example of the US monthly inflation process. The paper investigates the relationship between inflation and inflation uncertainty using the Iranian data over the period - GARCH models are used to examine this relationship.   Stilianos Fountas, National University of Ireland Menelaos Karanasos, University of York Marika Karanassou, Queen Mary and Westfield College, University of London. May 1, Download full paper. Abstract. We examine the relationship between inflation and inflation uncertainty using a GARCH model that allows for simultaneous feedback between the conditional mean and variance of inflation. A GARCH Model of Inflation and Inflation Uncertainty with.

A GARCH Model of Inflation and Inflation Uncertainty in Iran. A GARCH Model of Inflation and Inflation Uncertainty in Iran Mohammad Ali Moradi (Ph. D.) ∗∗∗∗ Abstract The paper investigates the relationship between inflation and inflation uncertainty using the Iranian data over the period – GARCH models are used to examine this relationship. possibility of a simultaneous feedback relationship between inflation and uncertainty. In addition, given the importance of long-run price stability, we use Component GARCH models to decompose inflation uncertainty into a temporary a permanent component and examine whether past inflation and IT affect long-run uncertainty. AR(3)-GARCH-in-Mean model that incorporates simultaneous feedback effects of inflation and inflation uncertainty. We generate a measure of monthly inflation.

inflation uncertainty imposes on the economy [13]. In the empirical literature, the use of survey-based cross-sectional dispersion of individual forecasts and moving standard deviation of inflation to proxy inflation uncertainty has been di scarded because of their inabil - ity to model inflation uncertainty as a time -varying process [14].   Stilianos Fountas, Menelaos Karanasos, Marika Karanassou, A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback, SSRN Electronic Journal, /ssrn, (). Crossref. "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Working Papers , National University of Ireland Galway, Department of Economics, revised Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, This essay investigates inflation and inflation uncertainty in Sweden from Q1 to Q4. GARCH models are used to generate a measure of inflation uncertainty estimated under the distributional assumption of Student's t-distribution and GED. The preferable model found for Swedish inflation was a EGARCH(1,1) estimated with Student's t-distribution.