Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model

Arbeitspapier

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects output variability positively, while output variability has a negative effect on inflation uncertainty.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series ; No. 475

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Price Level; Inflation; Deflation
• Subject: Bivariate GARCH process ; negative volatility feedback ; inflation uncertainty ; output variability ; Inflation ; Volatilität ; Konjunktur ; Risiko ; Korrelation ; ARCH-Modell ; Schätzung ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Conrad, Christian ; Karanasos, Menelaos
• Event: Veröffentlichung
• (who): University of Heidelberg, Department of Economics
• (where): Heidelberg
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/127287
• Last update: 10.03.2025, 11:43 AM CET