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Time-Varying Relationship between Inflation and Inflation Uncertainty

来源:湖南大学经济与管理研究中心  日期:2017-12-12 人气:

  间:Dec.13, 2017 (Wednesday) 10:00 AM

  点:Room 205, No.2 Teaching Building

  题:Time-Varying Relationship between Inflation and Inflation Uncertainty

 

主讲人: Chenghan Hou

                 Assistant Professor of CEFMS

 

  要:

This paper investigates whether the relationship between inflation and inflation uncertainty has changed and whether the change in this relationship has been gradual or abrupt. We extend the time-varying parameter with stochastic volatility in mean model to include a mixture innovation disturbance in the time-varying parameter process. The proposed model produces more reliable estimates and allows us to investigate the occurrence of breaks in the gradually evolving process of the time varying coefficients. Using data of U.S., Germany, Canada and New Zealand, we find that: 1) the relationship between inflation and inflation uncertainty substantially varies over time; 2) there is strong support for the existence of abrupt changes in the US inflation-inflation uncertainty relationship; 3) our empirical results of Canada and New Zealand show that the correlation between inflation and inflation uncertainty has been much weaker since early 1990s, which coincides with the timing of the implementation of inflation targeting.

报告人简介: 

Chenghan Hou joined the center for Economics, Finance and Management Studies at Hunan University in Fall 2017 as a tenure track Assistant Professor in Economics. He completed his PhD in Economics at The Australian National University in 2017. His research focuses on Bayesian nonparametric modeling, nonlinear state space models and macroeconomic forecasting.

 

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