Aksoy, Gulnihal; Bredin, Don; Corcoran, Deirdre; … - In: Credit and Capital Markets – Kredit und Kapital 50 (2017) 1, pp. 3-24
One potential real effect of inflation is its influence on the dispersion of relative prices in the economy which affects economic efficiency and aggregate output. Using a novel data set for the US and UK and a VARMA asymmetric bivariate GARCH-M model of inflation and relative price dispersion,...