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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series ; No. 475
- Klassifikation
-
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
- Thema
-
Bivariate GARCH process
negative volatility feedback
inflation uncertainty
output variability
Inflation
Volatilität
Konjunktur
Risiko
Korrelation
ARCH-Modell
Schätzung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Conrad, Christian
Karanasos, Menelaos
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Heidelberg, Department of Economics
- (wo)
-
Heidelberg
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Conrad, Christian
- Karanasos, Menelaos
- University of Heidelberg, Department of Economics
Entstanden
- 2008
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