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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| Main Authors: | , |
|---|---|
| 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: | |
| Online Access: | Resolving-System, kostenfrei, Volltext: http://hdl.handle.net/10419/100477 |
| Author Notes: | Hartmann, Matthias; Conrad, Christian |
MARC
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| 520 | |a 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. | ||
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