Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies

This paper employs a new test for level effects and asymmetry in inflation volatility. Higher inflation rates induce greater inflation uncertainty for the U.S., U.K. and Canada. UK and Canadian inflation volatility responds asymmetrically to positive and negative inflation shocks.

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Published in:Economics letters 2007-03, Vol.94 (3), p.383-388
Main Authors: Henry, Ólan T., Olekalns, Nilss, Suardi, Sandy
Format: Article
Language:English
Subjects:
Asymmetry
Davies' Problem
Friedman-Ball hypothesis
G-7
Inflation
Volatility
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cited_by cdi_FETCH-LOGICAL-c516t-c1d478f863cccb488edf9fdad0185d57561cd75ee2591e8c6e3ed284f5c6114f3
cites cdi_FETCH-LOGICAL-c516t-c1d478f863cccb488edf9fdad0185d57561cd75ee2591e8c6e3ed284f5c6114f3
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container_title Economics letters
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creator Henry, Ólan T.
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description This paper employs a new test for level effects and asymmetry in inflation volatility. Higher inflation rates induce greater inflation uncertainty for the U.S., U.K. and Canada. UK and Canadian inflation volatility responds asymmetrically to positive and negative inflation shocks.
doi_str_mv 10.1016/j.econlet.2006.08.024
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ispartof Economics letters, 2007-03, Vol.94 (3), p.383-388
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1873-7374
language eng
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source International Bibliography of the Social Sciences (IBSS); Elsevier
subjects Asymmetry
Davies' Problem
Friedman-Ball hypothesis
G-7
Inflation
Volatility
title Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies
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