Advanced Search
MyIDEAS: Login

The Impact of Inflation Uncertainty on Economic Growth: A MRS-IV Approach

Contents:

Author Info

  • Mustafa Caglayan

    ()
    (School of Management and Languages, Heriot-Watt University)

  • Ozge Kandemir

    (Department of Economics, The University of Sheffield)

  • Kostas Mouratidis

    (Department of Economics, The University of Sheffield)

Abstract

In this paper, we propose an analytical framework to explore the level and volatility effects of inflation on the output gap. Using quarterly US data over 1977:q2-2009:q4, we then examine the empirical implications of the model by implementing an instrumental variables Markov regime switching approach. We show that inflation uncertainty has a negative and regime dependent impact on the output gap but the level of inflation does not have any such e ect. Our empirical investigation also provides evidence that the US economy is moving towards a period of turmoil before the recent financial crisis was imminent. The results are robust to the use of alternative measures of inflation uncertainty.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.shef.ac.uk/economics/research/serps/articles/2012_025.html
File Function: First version, 2012
Download Restriction: no

Bibliographic Info

Paper provided by The University of Sheffield, Department of Economics in its series Working Papers with number 2012025.

as in new window
Length: 27 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:shf:wpaper:2012025

Contact details of provider:
Postal: 9 Mappin Street, SHEFFIELD, S1 4DT
Phone: +44 114 222 3399
Fax: + 44 (0)114 222 3458
Email:
Web page: http://www.shef.ac.uk/economics
More information through EDIRC

Related research

Keywords: output gap; inflation uncertainty; Markov-switching modeling; instrumental variables; endogeneity;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:shf:wpaper:2012025. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Georgios Efthyvoulou).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.