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http://bura.brunel.ac.uk/handle/2438/909
Title: | Inflation and inflation uncertainty in the United Kingdom: Evidence from GARCH modelling |
Authors: | Kontonikas, A |
Keywords: | Inflation, Inflation Targeting, Inflation Uncertainty, GARCH models |
Issue Date: | 2000 |
Publisher: | Brunel University |
Citation: | Economics and Finance Working papers, Brunel University, 02-28 |
Abstract: | This paper examines the relationship between inflation-uncertainty and the impact of inflation targeting using British data over the period 1972-2002. Uncertainty is proxied using the estimated conditional volatility from symmetric, asymmetric, and component GARCH-M models of inflation. The results indicate a positive relationship between past inflation and current uncertainty. We control for the indirect effect of lower average inflation throughout the last decade of inflation targeting and find that the adoption of an explicit target eliminates inflation persistence and reduces long-run uncertainty. Monetary authorities of implicit targeting countries should consider the extra benefits associated with formal targets. |
URI: | http://bura.brunel.ac.uk/handle/2438/909 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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