On the determinants of long-run inflation uncertainty

• Verfasst von: Conrad, Christian [VerfasserIn]
• Verfasst von: Hartmann, Matthias [VerfasserIn]
• Titel: On the determinants of long-run inflation uncertainty
• Titelzusatz: evidence from a panel of 17 developed economies
• Verf.angabe: Christian Conrad, Matthias Hartmann
• Jahr: 2019
• Jahr des Originals: 2018
• Umfang: 18 S.
• Fussnoten: Available online 19 September 2018 ; Gesehen am 17.04.2019
• Titel Quelle: Enthalten in: European journal of political economy
• Ort Quelle: Amsterdam [u.a.] : Elsevier, 1985
• Jahr Quelle: 2019
• Band/Heft Quelle: 56(2019), 1, Seite 233-250
• ISSN Quelle: 1873-5703
• DOI: doi:10.1016/j.ejpoleco.2018.09.002
• Datenträger: Online-Ressource
• Sprache: eng
• Bibliogr. Hinweis: Erscheint auch als : Druck-Ausgabe: Conrad, Christian, 1977 - : On the determinants of long-run inflation uncertainty. - 2019
• Sach-SW: Central banking
• Sach-SW: Inflation uncertainty
• Sach-SW: Spline-GARCH
• K10plus-PPN: 1663389152

Abstract

Based on a cross section of 17 advanced economies and data for the period 1975 to 2015, we examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. We construct a proxy for the unobservable inflation uncertainty based on the slowly evolving long-term variance component of inflation from a Spline-GARCH model (Engle and Rangel, 2008). We show that long-run inflation uncertainty is high if an inflation-tolerant central bank governor is in power during a period of high inflation, if the policy rate is below the one that is prescribed by the Taylor rule and during times of heightened stock and exchange rate volatility.