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

Conrad, Christian; Karanasos, Menelaos - 2008

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...

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

Modeling the link between US inflation and output: the importance of the uncertainty channel

Conrad, Christian; Karanasos, Menelaos - 2010

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

Persistent link: https://www.econbiz.de/10011422216

Modeling volatility spillovers between the variabilities of US inflation and output : the UECCC GARCH model

Conrad, Christian; Karanasos, Menelaos - 2008

Persistent link: https://www.econbiz.de/10003770689

Dual long memory in flation dynamics across countries of the Euro area and the link between inflation uncertainty and macroeconomic performance

Conrad, Christian (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10003284319

Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty

Conrad, Christian; Hartmann, Matthias - 2014

We examine how the interaction between monetary policy and macroeconomic conditions affects inﬂation uncertainty in the long-term. The unobservable inﬂation uncertainty is quantiﬁed by means of the slowly evolving long-term variance component of inﬂation in the framework of the...

Persistent link: https://www.econbiz.de/10010425581

Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty : conference paper

Conrad, Christian; Hartmann, Matthias - 2014 - Preliminary draft

In this study, we examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. The unobservable inflation uncertainty is quantified by means of the slowly evolving unconditional variance component of inflation in the framework...

Persistent link: https://www.econbiz.de/10010486628