 The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertaintyKuang-Liang Chang Journal of Macroeconomics, 2012, vol. 34, issue 2, 523-536 Abstract: A great of deal of study has explored the relationship between inflation and inflation uncertainty under the assumptions of normal distribution and no regime shift. This paper attempts to investigate whether changes in the specification of distribution specification and regime shifts will affect the inflation-uncertainty relationship. Empirical results show that these two factors have a vital effect on the inflation-uncertainty relationship. A specification with four states and the Student’s t distributed error terms can successfully describe the dynamics of the inflation rate. After taking the non-normal density and independent regime shifts into account, this paper finds that inflation uncertainty has no impact on inflation, regardless of inflation pressure. Inflation has a negative impact on inflation uncertainty during periods of high inflation volatility, while the impact of inflation on inflation uncertainty is insignificant during periods of low inflation volatility. Keywords: Inflation; Inflation uncertainty; Distribution specification; Regime-switching structure (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:34:y:2012:i:2:p:523-536 DOI: 10.1016/j.jmacro.2011.12.001 Access Statistics for this article Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos More articles in Journal of Macroeconomics from Elsevier |
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