Real effects of inflation uncertainty in the US

Mustafa Caglayan (m.caglayan@hw.ac.uk), Ozge Kandemir (ozge.kandemir@hacettepe.edu.tr) and Kostas Mouratidis (k.mouratidis@sheffield.ac.uk)
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Ozge Kandemir: Department of Economics, Hacettepe University, Ankara, Turkey
Kostas Mouratidis: Department of Economics, The University of Sheffield

No 2011002, Working Papers from The University of Sheffield, Department of Economics

Abstract: 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.

Keywords: Growth; inflation uncertainty; Markov-switching modeling; Markov-switching GARCH (search for similar items in EconPapers)
JEL-codes: E31 E32 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2011-02, Revised 2015-02
New Economics Papers: this item is included in nep-cba, nep-cis, nep-fdg, nep-mac, nep-mic and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:shf:wpaper:2011002

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