eprintid: 17534
rev_number: 18
eprint_status: archive
userid: 2744
dir: disk0/00/01/75/34
datestamp: 2014-10-21 09:56:51
lastmod: 2015-04-21 09:53:49
status_changed: 2014-10-21 09:56:51
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Hartmann, Matthias
title: Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty
subjects: ddc-330
divisions: i-181000
keywords: Inflation uncertainty, Central banking, Spline-GARCH.
abstract: We examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. The unobservable inflation uncertainty is quantified by means of the slowly evolving long-term variance component of inflation in the framework of the Spline-GARCH model (Engle and Rangel, 2008). For a cross-section of 13 developed economies, we find that long-term inflation uncertainty is high if central bank governors are perceived as less inflation-averse and if the conduct of monetary policy is ad-hoc rather than rule-based.
date: 2014-10
id_scheme: DOI
id_number: 10.11588/heidok.00017534
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0574
ppn_swb: 1659402549
own_urn: urn:nbn:de:bsz:16-heidok-175344
language: eng
bibsort: CONRADCHRICROSSSECTI201410
full_text_status: public
series: Discussion Paper Series, University of Heidelberg, Department of Economics
volume: 0574
place_of_pub: Heidelberg
pages: 43
citation:   Conrad, Christian ; Hartmann, Matthias  (2014) Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/17534/1/Conrad_Hartmann_2014_dp574.pdf