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Generalized Autoregressive Conditional Heteroskedasticity
- JOURNAL OF ECONOMETRICS
, 1986
"... A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametri ..."
Abstract
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Cited by 693 (13 self)
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A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an empirical example relating to the uncertainty of the inflation rate is presented.
Role of Exchange-Rate Volatility in US Import Price Pass-Through Relationships
, 1989
"... ..........................................................................viii CHAPTER ONE 1 . Introduction ...................................................................1 1.1 Introduction: Pass-Through Models......................................1 1.2 A Survey of Related Literature............ ..."
Abstract
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..........................................................................viii CHAPTER ONE 1 . Introduction ...................................................................1 1.1 Introduction: Pass-Through Models......................................1 1.2 A Survey of Related Literature.............................................2 CHAPTER TWO 2 . Pass-Through Models ......................................................7 2.1 Derivation with Stochastic Exchange Rate: Risk-Averse Firm........8 2.1.1 Invoicing in the Importing Country's Currency .................8 2.1.2 Invoicing in the Exporting Country's Currency .................14 2.2 Derivation of Functional Form for Estimation...........................17 2.2.1 Estimable Form for Exporter Pricing in the Importing Country's Currency..............................................................19 2.2.2 Estimable Form for Exporter Pricing in the Exporting Country's Currency................................................................
Does Inflation Uncertainty Affect Output Growth? Further Evidence
"... CONOMISTS have long been interested in the effects of inflation on real economic variables. In the past two decades, this line of research has expanded greatly, spurred on by the relatively high inflation rates in the developed economies beginning in the 1970s and the coincident slowing in the rate ..."
Abstract
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CONOMISTS have long been interested in the effects of inflation on real economic variables. In the past two decades, this line of research has expanded greatly, spurred on by the relatively high inflation rates in the developed economies beginning in the 1970s and the coincident slowing in the rate of output growth. One traditional and widely accepted notion is that anticipated inflation has little or no effect on real variables, except for those effects arising from institutional features such as incompletely indexed tax codes and zero intem’est payments on currency and reserves. ’ It is also widely accepted that unanticipated inflation affects real variables, at least in the short m’un.
