US Inflation and inflation uncertainty in a historical perspective: The impact of recessions

Don Bredin and Stilianos Fountas

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: We use over two hundred years of US inflation data to examine the impact of inflation uncertainty on inflation. An analysis of the full period without allowing for various regimes shows no impact of uncertainty on inflation. However, once we distinguish between recessions and non recessions, we find that inflation uncertainty has a negative effect on inflation only in recession times, thus providing support to the Holland hypothesis.

Keywords: asymmetric GARCH; recession; inflation uncertainty. (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2011-09, Revised 2011-09
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Working Paper: US Infl ation and infl ation uncertainty in a historical perspective: The impact of recessions (2011)
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