Arbeitspapier

Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty

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We examine how the interaction between monetary policy and macroeconomic conditions affects inﬂation uncertainty in the long-term. The unobservable inﬂation uncertainty is quantiﬁed by means of the slowly evolving long-term variance component of inﬂation in the framework of the Spline-GARCH model (Engle and Rangel, 2008). For a cross-section of 13 developed economies, we ﬁnd that long-term inﬂation uncertainty is high if central bank governors are perceived as less inﬂation-averse and if the conduct of monetary policy is ad-hoc rather than rule-based.

Language: Englisch

Bibliographic citation: Series: Discussion Paper Series ; No. 574

Classification: Wirtschaft

Subject: Inﬂation uncertainty
Central banking
Spline-GARCH

Event: Geistige Schöpfung

(who): Conrad, Christian
Hartmann, Matthias

Event: Veröffentlichung

(who): University of Heidelberg, Department of Economics

(where): Heidelberg

(when): 2014

DOI: doi:10.11588/heidok.00017534

Handle: http://hdl.handle.net/10419/127388

URN: urn:nbn:de:bsz:16-heidok-175344

Last update: 10.03.2025, 11:43 AM CET

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Object type

Arbeitspapier

Associated

Conrad, Christian
Hartmann, Matthias
University of Heidelberg, Department of Economics

Time of origin

2014

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