Caglayan, Mustafa; Kandemir, Ozge; Mouratidis, Kostas - Department of Economics, University of Sheffield - 2012
In this paper, we propose an analytical framework to explore the level and volatility effects of inflation on the output gap. Using quarterly US data over 1977:q2-2009:q4, we then examine the empirical implications of the model by implementing an instrumental variables Markov regime switching...
