Article ID Journal Published Year Pages File Type
5062153 Economics Letters 2007 6 Pages PDF
Abstract

This paper employs a new test for level effects and asymmetry in inflation volatility. Higher inflation rates induce greater inflation uncertainty for the U.S., U.K. and Canada. UK and Canadian inflation volatility responds asymmetrically to positive and negative inflation shocks.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies
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