TY  - GEN
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/17534/
Y1  - 2014/10//
A1  - Conrad, Christian
A1  - Hartmann, Matthias
ID  - heidok17534
AV  - public
KW  - In?ation uncertainty
KW  -  Central banking
KW  -  Spline-GARCH.
CY  - Heidelberg
EP  - 43
TI  - Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty
T3  - Discussion Paper Series, University of Heidelberg, Department of Economics
N2  - We examine how the interaction between monetary policy and macroeconomic conditions affects in?ation uncertainty in the long-term. The unobservable in?ation uncertainty is quanti?ed by means of the slowly evolving long-term variance component of in?ation in the framework of the Spline-GARCH model (Engle and Rangel, 2008). For a cross-section of 13 developed economies, we ?nd that long-term in?ation uncertainty is high if central bank governors are perceived as less in?ation-averse and if the conduct of monetary policy is ad-hoc rather than rule-based.
ER  -