Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100477
Authors: 
Hartmann, Matthias
Conrad, Christian
Year of Publication: 
2014
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik - Session: Empirical Macro: Credibility, Ability, and Central Bank Reaction Functions B19-V2
Abstract: 
In this study, we examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. The unobservable inflation uncertainty is quantified by means of the slowly evolving unconditional variance component of inflation in the framework of the semiparametric Spline-GARCH model (Engle and Rangel, 2008). For a cross section of 13 developed economies, we find that long-term inflation uncertainty is high if central bank governors are perceived as less inflation-averse, if the conduct of monetary policy is rather ad-hoc than rule-based and in economies with a low degree of central bank independence.
JEL: 
E58
E65
E31
Document Type: 
Conference Paper

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