Employing a multivariate EGARCH-M model, this study investigates the effects of inflation uncertainty and growth … uncertainty on inflation and output growth in the United States. Our results show that inflation uncertainty has a positive and … significant effect on the level of inflation and a negative and significant effect on the output growth. However, output …

Purpose – The purpose of this paper is to determine the relationship between inflation, inflation uncertainty, growth … the relationship between inflation, inflation uncertainty, growth and growth uncertainty for Australia. Findings – Using … quarterly data in multivariate EGARCH models, this study finds that both inflation uncertainty and output uncertainty have …

Purpose – The purpose of this paper is to establish a link between inflation uncertainty and interest rates for five … inflation-targeting countries. Design/methodology/approach – The approach takes the form of a time-varying parameter model with … and structural uncertainty. Findings – This study attempts to establish a link between inflation uncertainty and interest …

This paper examines the relationship between inflation and real income in Australia, Canada, Finland, New Zealand …, Spain, Sweden and the UK which have adopted a “formal” policy of low or zero inflation target. Using cointegration analysis … and a vector error correction model (VECM)), we find that the long-run relationship between inflation and real income is …

This study examines the transmission and response of inflation uncertainty and output uncertainty on inflation and … output growth in the UK using a bi-variate EGARCH model. Results suggest that inflation uncertainty has positive and … significant effects on inflation before the inflation-targeting period, but that the effect is significantly negative after the …