E3 - Prices, Business Fluctuations, and Cycles - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T00:58:52+00:00Does Inflation Uncertainty Vary with the Level of Inflation?
https://www.bankofcanada.ca/1996/08/working-paper-1996-9/
The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which 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 inflation uncertainty increases with the level of inflation.1996-08-01T16:00:33+00:00enDoes Inflation Uncertainty Vary with the Level of Inflation?1996-08-01Inflation and pricesMonetary policy and uncertaintyWorking Paper 1996-9 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-9.pdfDoes Inflation Uncertainty Vary with the Level of Inflation?Allan CrawfordMarcel KasumovichAugust 1996CC5C52EE3E31