Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model

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.

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Year of publication:	2008
Authors:	Conrad, Christian ; Karanasos, Menelaos
Publisher:	Heidelberg : University of Heidelberg, Department of Economics
Subject:	Inflation \| Volatilität \| Konjunktur \| Risiko \| Korrelation \| ARCH-Modell \| Schätzung \| USA \| Bivariate GARCH process \| negative volatility feedback \| inflation uncertainty \| output variability

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Series:	Discussion Paper Series ; 475
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	584555075 [GVK] hdl:10419/127287 [Handle] RePEc:awi:wpaper:0475 [RePEc]
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E31 - Price Level; Inflation; Deflation
Source:	EconStor

Persistent link: https://www.econbiz.de/10011422179