Seasonal patterns of inflation uncertainty for the US economy: an EGARCH model results
Date
2010Source Title
The IUP Journal of Monetary Economics
Print ISSN
0972-9291
Publisher
IUP Publications
Volume
8
Issue
1-2
Pages
7 - 22
Language
English
Type
ArticleItem Usage Stats
118
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38
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Abstract
The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean equation capturing the short-term and long-term volatility forecasts and leverage effects. The results indicate that seasonal inflation uncertainty increases in January, April and September and decreases in May, June, July and August.