This paper investigates how inflation and its uncertainty impact GDP growth in eight Central and Eastern European … Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different … distribution functions, while the nonlinear effect of inflation and its uncertainty on GDP growth is assessed in the Bayesian …

This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and … autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence … from both the linear vector autoregressive (VAR) and nonparametric regression models show that higher inflation rates lead …

We examine the relationship between inflation and inflation uncertainty using a GARCH model that allows for … simultaneous feedback between the conditional mean and variance of inflation. We also derive a number of theoretical econometric … results and illustrate the relevance of these results with an empirical example of the US monthly inflation process. Our …

This study provides estimates of economic uncertainty and inflation uncertainty for the Greek economy and considers … their time-varying impact on the corresponding macroeconomic variables, i.e. GDP growth and inflation. The authors find that …

inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another … tends to intensify. This paper examines empirical methodologies to measure the strength of the interdependence of inflation … uncertainty between the UK and the euro area. We first estimate inflation uncertainty by expost forecast errors from a bivariate …

The ongoing trend of high inflation across much of the world has reignited interest in inflation volatility with … varying foci and methods. In this paper, we employ a Bayesian framework to estimate inflation volatility using a sample of G20 …