Arbeitspapier
Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper Series ; No. 475
- 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
- Event
-
Geistige Schöpfung
- (who)
-
Conrad, Christian
Karanasos, Menelaos
- Event
-
Veröffentlichung
- (who)
-
University of Heidelberg, Department of Economics
- (where)
-
Heidelberg
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Conrad, Christian
- Karanasos, Menelaos
- University of Heidelberg, Department of Economics
Time of origin
- 2008
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