Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies

Abstract

This paper employs a new test for level effects and asymmetry in inflation volatility. Higher inflation rates induce greater inflation uncertainty for the U.S., U.K. and Canada. UK and Canadian inflation volatility responds asymmetrically to positive and negative inflation shocks. © 2006 Elsevier B.V. All rights reserved.