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Title:Modeling the link between US inflation, output and their variabilities PDF Logo
Authors:Conrad, Christian
Karanasos, Menelaos G.
Issue Date:2010
Series/Report no.:Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Macroeconomic Modeling and Forecasting Performance D11-V2
Abstract:This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2010) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects output variability positively, while output variability has a negative effect on inflation uncertainty. In addition, we find a negative/positive relation between nominal uncertainty and output growth/inflation. Finally, both lagged inflation as well as lagged output growth have a positive/negative effect on nominal/real uncertainty.
Subjects:Bivariate GARCH process
negative volatility feedback
inflation uncertainty
output variability
JEL:C32
C51
E31
Document Type:Conference Paper
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie

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