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

Paul M. Jones and Eric Olson ()

Economics Letters, 2013, vol. 118, issue 1, 33-37

Abstract: 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.

Keywords: Uncertainty; Multivariate GARCH; Inflation (search for similar items in EconPapers)
Date: 2013
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