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Measuring the Effects of Interest Rate Volatility

Title
Measuring the Effects of Interest Rate Volatility
Funding
ARC | Discovery Projects
Contract (GA) number
DP0664286
Start Date
2006/01/01
End Date
2008/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/DP0664286

 

  • Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty:Evidence from the G7 Economies

    The Friedman-Ball hypothesis implies a link between the inflation rate and inflation uncertainty. In this paper we employ a new test for the joint null hypothesis of no dependence effects and no asymmetry in the G7 inflation volatility. The results show that higher inflation rates operate additively via the conditional variance of inflation to induce greater inflation uncertainty in the U.S., U.K. and Canada. In addition, positive inflationary shocks are found to generate greater inflation un...
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