This paper employs an augmented version of the UECCC GARCH specificationproposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects,level effects as well as asymmetries in the conditional variances. In this unifiedframework we examine the twelve potential intertemporal...

In a simple New Keynesian model, we derive a closed form solution for the inflationpersistence parameter as a function of the policy weights in the central bank’s Taylorrule. By estimating the time-varying weights that the FED attaches to inflationand the output gap, we show that the...

This paper employs the unrestricted extended constant conditional correlationGARCH specification proposed in Conrad and Karanasos (2008) to examine theintertemporal relationship between the uncertainties of in°ation and output growthin the US. We find that inflation uncertainty effects output...