Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: The UECCC GARCH Model
University of Heidelberg Department of Economics Discussion Paper No. 475
8 Pages Posted: 5 Oct 2008
Date Written: October 2, 2008
Abstract
This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects output variability positively, while output variability has a negative effect on inflation uncertainty.
Keywords: Bivariate GARCH process, negative volatility feedback, inflation uncertainty, output variability
JEL Classification: C32, C51, E31
Suggested Citation: Suggested Citation
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