Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty

• Verfasst von: Conrad, Christian
• Verfasst von: Hartmann, Matthias
• Titel: Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty
• Titelzusatz: conference paper
• Verf.angabe: Hartmann, Matthias; Conrad, Christian
• Ausgabe: Preliminary draft
• Verlagsort: [Kiel ; Hamburg]
• Verlag: ZBW
• Jahr: 2014
• Umfang: Online-Ressource (48 S.)
• Illustrationen: graph. Darst.
• Gesamttitel/Reihe: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2014: Evidenzbasierte Wirtschaftspolitik : B19, Session: Empirical macro : credibility, ability, and central bank reaction functions ; V2
• ComputerInfo: Systemvoraussetzungen: Acrobat Reader.
• Datenträger: Online-Ressource
• Dokumenttyp: Konferenzschrift
• Sprache: eng
• Sach-SW: Inflation uncertainty
• Sach-SW: Central banking
• Sach-SW: Spline-GARCH
• Form-SW: Graue Literatur
• K10plus-PPN: 819381365

Abstract

In this study, we examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. The unobservable inflation uncertainty is quantified by means of the slowly evolving unconditional variance component of inflation in the framework of the semiparametric Spline-GARCH model (Engle and Rangel, 2008). For a cross section of 13 developed economies, we find that long-term inflation uncertainty is high if central bank governors are perceived as less inflation-averse, if the conduct of monetary policy is rather ad-hoc than rule-based and in economies with a low degree of central bank independence.