US Inflation and inflation uncertainty in a historical perspective: The impact of recessions
AbstractWe 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.
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Bibliographic InfoPaper provided by Department of Economics, University of Macedonia in its series Discussion Paper Series with number 2011_13.
Date of creation: Sep 2011
Date of revision: Sep 2011
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asymmetric GARCH; recession; inflation uncertainty.;
Other versions of this item:
- Don Bredin & Stilianos Fountas, 2011. "US Infl ation and infl ation uncertainty in a historical perspective: The impact of recessions," Working Papers, Geary Institute, University College Dublin 201053, Geary Institute, University College Dublin.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-09 (All new papers)
- NEP-CBA-2011-10-09 (Central Banking)
- NEP-MAC-2011-10-09 (Macroeconomics)
- NEP-MON-2011-10-09 (Monetary Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Guglielmo Maria Caporale & Alexandros Kontonikas, 2006.
"The Euro and Inflation Uncertainty in the European Monetary Union,"
CESifo Working Paper Series
1842, CESifo Group Munich.
- Caporale, Guglielmo Maria & Kontonikas, Alexandros, 2009. "The Euro and inflation uncertainty in the European Monetary Union," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(6), pages 954-971, October.
- Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 06-01, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria, Caporale & Alexandros , Kontonikas, 2007. "The Euro and Inflation Uncertainty in the European Monetary Union," CELPE Discussion Papers, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy 101, CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy.
- Bredin, Don & Fountas, Stilianos, 2009. "Macroeconomic uncertainty and performance in the European Union," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(6), pages 972-986, October.
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