Bhar, Ramprasad; Mallik, Girijasankar - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 23, pp. 5503-5510
Employing a multivariate EGARCH-M model, this study investigates the effects of inflation uncertainty and growth uncertainty on inflation and output growth in the United States. Our results show that inflation uncertainty has a positive and significant effect on the level of inflation and a...