- Economics - Research Publications
Economics - Research Publications
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ItemTesting for rate-dependence and asymmetry in inflation uncertainty: evidence from the G7 economiesHenry, Olan ; OLEKALNS, NILSS ; Suardi, Sandy ( 2006-02)The Friedman-Ball hypothesis implies a link between the inflation rate and inflationuncertainty. In this paper we employ a new test for the joint null hypothesis of no dependenceeffects and no asymmetry in the G7 inflation volatility. The results show that higher inflationrates operate additively via the conditional variance of inflation to induce greater inflationuncertainty in the U.S., U.K. and Canada. In addition, positive inflationary shocks are found togenerate greater inflation uncertainty than negative shocks of a similar magnitude in the U.K. andCanada.
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ItemDeviations from uncovered interest parity in MalaysiaGoh, SK ; Lim, GC ; Olekalns, N (Informa UK Limited, 2006-06-15)