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

Authors

Olan Henry, University of Melbourne
Nilss Olekalns, University of Melbourne
Sandy Suardi, University of QueenslandFollow

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.