Title

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

RIS ID

105144

Publication Details

Henry, O. T., Olekalns, N. & Suardi, S. (2007). Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies. Economics Letters, 94 383-388.

Abstract

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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Link to publisher version (DOI)

http://dx.doi.org/10.1016/j.econlet.2006.08.024