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US Infl ation and infl ation uncertainty in a historical perspective: The impact of recessions

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  • Don Bredin

    (University College Dublin)

  • Stilianos Fountas

    (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.

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File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp201053.pdf
File Function: First version, 2010
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Bibliographic Info

Paper provided by Geary Institute, University College Dublin in its series Working Papers with number 201053.

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Length: 11 pages
Date of creation: 11 Mar 2011
Date of revision:
Handle: RePEc:ucd:wpaper:201053

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Keywords: asymmetric GARCH; recession; inflation uncertainty;

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  1. Grier, Kevin B. & Perry, Mark J., 1998. "On inflation and inflation uncertainty in the G7 countries," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 671-689, August.
  2. Guglielmo Maria, Caporale & Alexandros , Kontonikas, 2007. "The Euro and Inflation Uncertainty in the European Monetary Union," CELPE Discussion Papers 101, CELPE (Centre of Labour Economics and Economic Policy), University of Salerno, Italy.
  3. Bredin, Don & Fountas, Stilianos, 2009. "Macroeconomic uncertainty and performance in the European Union," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 972-986, October.
  4. Fountas, Stilianos, 2001. "The relationship between inflation and inflation uncertainty in the UK: 1885-1998," Economics Letters, Elsevier, vol. 74(1), pages 77-83, December.
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