Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/127287
Authors: 
Conrad, Christian
Karanasos, Menelaos
Year of Publication: 
2008
Series/Report no.: 
Discussion Paper Series, University of Heidelberg, Department of Economics 475
Abstract: 
This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) 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.
Subjects: 
Bivariate GARCH process
negative volatility feedback
inflation uncertainty
output variability
JEL: 
C32
C51
E31
Document Type: 
Working Paper

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