Ulm, Maren

[["dc.bibliographiccitation.firstpage","76"],["dc.bibliographiccitation.issue","1"],["dc.bibliographiccitation.journal","International Journal of Forecasting"],["dc.bibliographiccitation.lastpage","89"],["dc.bibliographiccitation.volume","33"],["dc.contributor.author","Hartmann, Matthias"],["dc.contributor.author","Herwartz, Helmut"],["dc.contributor.author","Ulm, Maren"],["dc.date.accessioned","2018-11-07T10:29:32Z"],["dc.date.available","2018-11-07T10:29:32Z"],["dc.date.issued","2017"],["dc.description.abstract","The existence of unconventional monetary and fiscal policy arrangements in industrialized economies has been raising concerns about the future evolution of inflation rates ever since the onset of the financial and sovereign debt crisis in 2008. However, the question of how inflation uncertainty should be quantified is an open issue. We assess the informative content of alternative ex ante quantifications of inflation uncertainty by predicting ex post squared inflation forecast errors in an out-of-sample forecasting contest. We find that the average across distinct models' levels of ex ante uncertainty offers a greater predictive content than other uncertainty measures based on the cross-sectional variance of point forecasts, GARCH or stochastic volatility models. (C) 2016 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved."],["dc.description.sponsorship","Deutsche Forschungsgemeinschaft [HE 2188/3-3]"],["dc.identifier.doi","10.1016/j.ijforecast.2016.08.005"],["dc.identifier.isi","000391080300006"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/43659"],["dc.notes.status","zu prüfen"],["dc.notes.submitter","PUB_WoS_Import"],["dc.publisher","Elsevier Science Bv"],["dc.relation.issn","1872-8200"],["dc.relation.issn","0169-2070"],["dc.title","A comparative assessment of alternative ex ante measures of inflation uncertainty"],["dc.type","journal_article"],["dc.type.internalPublication","yes"],["dc.type.peerReviewed","yes"],["dc.type.status","published"],["dspace.entity.type","Publication"]]

[["dc.bibliographiccitation.firstpage","125"],["dc.bibliographiccitation.journal","Journal of Empirical Finance"],["dc.bibliographiccitation.lastpage","148"],["dc.bibliographiccitation.volume","65"],["dc.contributor.author","Ulm, M."],["dc.contributor.author","Hambuckers, J."],["dc.date.accessioned","2022-06-01T09:40:19Z"],["dc.date.available","2022-06-01T09:40:19Z"],["dc.date.issued","2022"],["dc.identifier.doi","10.1016/j.jempfin.2021.12.004"],["dc.identifier.pii","S0927539821001018"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/108695"],["dc.language.iso","en"],["dc.notes.intern","DOI-Import GROB-572"],["dc.relation.issn","0927-5398"],["dc.rights.uri","https://www.elsevier.com/tdm/userlicense/1.0/"],["dc.title","Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model"],["dc.type","journal_article"],["dc.type.internalPublication","yes"],["dspace.entity.type","Publication"]]

[["dc.bibliographiccitation.firstpage","1302"],["dc.bibliographiccitation.issue","5"],["dc.bibliographiccitation.journal","Macroeconomic Dynamics"],["dc.bibliographiccitation.lastpage","1337"],["dc.bibliographiccitation.volume","26"],["dc.contributor.author","Hartmann, Matthias"],["dc.contributor.author","Herwartz, Helmut"],["dc.contributor.author","Ulm, Maren"],["dc.date.accessioned","2022-09-01T09:49:54Z"],["dc.date.available","2022-09-01T09:49:54Z"],["dc.date.issued","2020"],["dc.description.abstract","One of the most important advantages of an inflation target is that it helps to reduce uncertainty about future inflation. However, this confidence may be undermined if actual inflation continuously deviates from the target level. We examine how inflation uncertainty relates to the presence of an inflation target and deviations of inflation from the targeted level. Inflation uncertainty is quantified by means of an unobserved components stochastic volatility model that allows to distinguish between permanent and transitory inflation uncertainty. While long-term inflation appears largely stable in most economies, the short-term inflation uncertainty is found to be time-varying. Most notably, short-term inflation uncertainty is high if inflation rates are below the target level. This is particularly relevant for economies which are currently confronted with the presence of persistently low-inflation rates. Our findings suggest that announcing higher inflation targets as it is currently discussed may be costly in terms of provoking higher inflation uncertainty."],["dc.identifier.doi","10.1017/S1365100520000565"],["dc.identifier.pii","S1365100520000565"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/113566"],["dc.language.iso","en"],["dc.notes.intern","DOI-Import GROB-597"],["dc.relation.eissn","1469-8056"],["dc.relation.issn","1365-1005"],["dc.title","Inflation Targeting under Inflation Uncertainty - Multi-Economy Evidence from a Stochastic Volatility Model"],["dc.type","journal_article"],["dc.type.internalPublication","yes"],["dc.type.subtype","original_ja"],["dspace.entity.type","Publication"]]