The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean equation capturing the short-term and long-term volatility...

This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive conditional heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the U.K. quarterly data from...

This paper analyzes the Turkish Treasury interest rate behaviour within the Fisher hypothesis framework for the period from 1988:11 to 1998:6. Consistent with the hypothesis, empirical evidence indicates that the interest rates increase with expected inflation. After the risk is controlled, the...

The positive relationship between inflation and inflation uncertainty is well supported by empirical evidence in the literature. However, this does not answer the question of whether the inflation causes the inflation uncertainty and vice versa or both in the Granger sense. The empirical...