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 Spline-GARCH model (Engle and Rangel, 2008). For a cross-section of 13 developed …

dynamics of the risk premia - features that are all present in the data. I use the model to assess how accurately the term … structure reflects changing expectations of future yields and inflation. This analysis shows that the presence of time …-varying risk premia make it very hard to accurately track changes in the expected path of real or nominal yields over horizons of …

exploits the rounding patterns in individuals' responses to survey questions on inflation expectations (Binder, 2017). This … inflation expectations. …

This paper shows that Livingston Survey measures of unemployment uncertainty are positively correlated with inflation …, that inflation Granger Causes unemployment uncertainty and that shocks to inflation uncertainty or unemployment uncertainty … have similar effects on real GDP growth. This suggests higher unemployment uncertainty is a cost of higher inflation that …

We rely on the Atlanta Fed's Business Inflation Expectations survey to draw inference about firms' inflation … literature, we find evidence that the concept of "aggregate inflation" as measured through price statistics like the consumer … experiments (including randomized controlled trials) that show how researchers word questions to elicit inflation expectations and …

The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation … allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation … uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that …

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 …

implementation of Muth’s hypothesis to represent market participants’ inflation expectations under Knightian uncertainty arising from … that processes driving inflation time-series and inflation forecasts undergo nonrecurring structural shifts. In contrast to …

equilibrium exists. We study the response differences in the dynamics of the inflation rate to changes in the mean and variance of … the Great Recession, in which the effects of greater model uncertainty may have played a role in keeping inflation rates …