Real effects of inflation uncertainty in the US

We empirically investigate the effects of inflation uncertainty on output growth for the US between 1960 and 2012. Modeling output dynamics within a Markov regime switching framework, we provide evidence that inflation uncertainty exerts a negative and regime dependent impact on output growth. A battery of sensitivity checks confirm our findings.

MoreLess

Year of publication:	2011-02
Authors:	Caglayan, Mustafa ; Kandemir, Ozge ; Mouratidis, Kostas
Institutions:	Department of Economics, University of Sheffield
Subject:	Growth \| inflation uncertainty \| Markov-switching modeling \| Markov-switching GARCH

More details

Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2011002 36 pages
Classification:	E31 - Price Level; Inflation; Deflation ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008833864