Inflation and Inflation Uncertainty in the United Kingdom Evidence from GARCH modelling

@inproceedings{Kontonikas2003InflationAI,
  title={Inflation and Inflation Uncertainty in the United Kingdom Evidence from GARCH modelling},
  author={A. Kontonikas},
  year={2003}
}
  • A. Kontonikas
  • Published 2003
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… CONTINUE READING