Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled … indicator for inflation uncertainty. Moreover, the idiosyncratic component of survey disagreement contains systematic … that higher inflation is followed by higher uncertainty. By contrast, we obtain contradictory results for the individual …

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation …-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …

inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the …, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty …, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent …

This paper investigates persistence of Swiss consumer price inflation using aggregate and disaggregate inflation data … covering 1983-2008. We document that persistence of sectoral inflation rates is below persistence of aggregate inflation. Our … main finding is that inflation persistence significantly declines in the early 1990s. An estimated factor model reveals …

This paper investigates persistence of Swiss consumer price inflation using aggregate and disaggregate inflation data … covering 1983-2008. We document that persistence of sectoral inflation rates is below persistence of aggregate inflation. Our … main finding is that inflation persistence significantly declines in the early 1990s. An estimated factor model reveals …

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation …-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … and food CPI, implying that the impacts of inflation shocks on their volatilities die away very slowly. However, the …

This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether … it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded … economic slowdowns or changes of the Federal Reserve Chair. Moreover, a decomposition of inflation shocks into permanent and …

This study compares the performance of GARCH-Type models in modelling inflation volatility in Nigeria covering the … period 1995M01 to 2016M10. In the paper, we provide two main innovations: (i) we analyze inflation rate of two pronounced … the role of structural breaks for inflation rate volatility in Nigeria will yield misleading and invalid policy …

This paper investigates the effect of inflation volatility on private sector credit growth. The results indicate that … private sector credit growth is positively linked to the one period lagged inflation volatility. Given that past monetary … positive response of private sector credit growth to past inflation volatility suggests a credible monetary policy regime in …