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Relative price variability and inflation uncertainty - the UK case

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Abstract:

This study applies the time-varying volatility model to UK GDP deflators and compares it with the traditional inflation uncertainty measurement of relative price variability. The link between relative price variability and time-varying volatility is studied and established. Moreover, inflation uncertainty is found to be highly persistent in duration and plausibly asymmetric to previous shocks at both disaggregate and aggregate levels.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/000368499323058

Publication date: December 1, 1999

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