Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/127388 
Year of Publication: 
2014
Series/Report no.: 
Discussion Paper Series No. 574
Publisher: 
University of Heidelberg, Department of Economics, Heidelberg
Abstract: 
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 long-term variance component of inflation in the framework of the 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 and if the conduct of monetary policy is ad-hoc rather than rule-based.
Subjects: 
Inflation uncertainty
Central banking
Spline-GARCH
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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