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      • Department of Economics
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      Seasonal patterns of inflation uncertainty for the US economy: an EGARCH model results

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      Author(s)
      Berument, Hakan
      Kose, N.
      Sahin, A.
      Date
      2010
      Source 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
      Article
      Item Usage Stats
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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.
      Keywords
      Inflation
      EGARCH model
      US economy
      Permalink
      http://hdl.handle.net/11693/49386
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      • Department of Economics 697
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