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

See all articles by Christian Conrad

Christian Conrad

Heidelberg University - Alfred Weber Institute for Economics; ETH Zürich - KOF Swiss Economic Institute

Menelaos Karanasos

Brunel University London - Economics and Finance

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

Conrad, Christian and Karanasos, Menelaos, Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: The UECCC GARCH Model (October 2, 2008). University of Heidelberg Department of Economics Discussion Paper No. 475, Available at SSRN: https://ssrn.com/abstract=1277069 or http://dx.doi.org/10.2139/ssrn.1277069

Christian Conrad (Contact Author)

Heidelberg University - Alfred Weber Institute for Economics ( email )

Grabengasse 14
Heidelberg, D-69117
Germany
+49 (06)221 543173 (Phone)

HOME PAGE: http://www.uni-heidelberg.de/conrad

ETH Zürich - KOF Swiss Economic Institute ( email )

Zurich
Switzerland

Menelaos Karanasos

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

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