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

In this study, 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 unconditional variance component of inflation in the framework of th...

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Bibliographic Details
Main Authors: Conrad, Christian (Author) , Hartmann, Matthias (Author)
Format: Conference Paper
Language:English
Published: [Kiel Hamburg] ZBW 2014
Edition:Preliminary draft
Series:Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik B19, Session: Empirical macro : credibility, ability, and central bank reaction functions V2
In: Jahrestagung des Vereins für Socialpolitik 2014 (B19-V2)

Subjects:
Graue Literatur
Konferenzschrift
Online Access:Resolving-System, kostenfrei, Volltext: http://hdl.handle.net/10419/100477
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Author Notes:Hartmann, Matthias; Conrad, Christian
Description
Summary:In this study, 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 unconditional variance component of inflation in the framework of the semiparametric 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, if the conduct of monetary policy is rather ad-hoc than rule-based and in economies with a low degree of central bank independence.
Physical Description:Online Resource
Format:Systemvoraussetzungen: Acrobat Reader.

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