The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

Using a new uncertainty index from Baker et al. (2012), we evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and inflation changed from negative to positive during the late 1990s, whereas the correlation between uncertainty and output is consistently negative.

MoreLess

Year of publication:	2013
Authors:	Jones, Paul M. ; Olson, Eric
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 1, p. 33-37
Publisher:	Elsevier
Subject:	Uncertainty \| Multivariate GARCH \| Inflation

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041676