... price channels. The responses of unemployment rate are smaller during QE1 and QE2 due to the rise in inflation uncertainty and economic policy uncertainty. Originality/value The impact of the Fed's unconventional monetary policy shocks on the US unemployment rate during QE1, QE2 and QE3 is time...

...Jinan Liu; Apostolos Serletis Purpose To investigate the complex relationship between inflation, inflation uncertainty and equity returns. Design/methodology/approach This paper uses a bivariate VARMA, GARCH-in-mean, asymmetric BEKK model to investigate the relationship between inflation...

...Diego Ferreira; Andreza Aparecida Palma Considering inflation series for the last two decades, we report evidences of high uncertainty from 1996 to early 2000s. Moreover, despite being positive throughout the sample, the overall relationship between inflation uncertainty and inflation has...

... of specific impacts. Findings – Based on the asymmetric Generalized Autoregressive Conditional Heteroskedasticity model, the paper found strong evidence favoring a positive effect of a change in the inflation uncertainty as predicted by the Friedman-Ball hypothesis. In addition, inflation (inflation...

...Girijasankar Mallik; Ramprasad Bhar Purpose The purpose of this paper is to establish a link between inflation uncertainty and interest rates for five inflation‐targeting countries. Design/methodology/approach The approach takes the form of a time‐varying parameter model with a Generalized...

...Girijasankar Mallik; Anis Chowdhury Purpose The purpose of this paper is to determine the relationship between inflation, inflation uncertainty, growth and growth uncertainty for Australia. Design/methodology/approach Multivariate EGARCH models has been used to estimate the relationship...