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The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

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  • Jones, Paul M.
  • Olson, Eric

Abstract

Using a new uncertainty index from Baker et al. (2012), we evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and inflation changed from negative to positive during the late 1990s, whereas the correlation between uncertainty and output is consistently negative.

Suggested Citation

  • Jones, Paul M. & Olson, Eric, 2013. "The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model," Economics Letters, Elsevier, vol. 118(1), pages 33-37.
    • Handle: RePEc:eee:ecolet:v:118:y:2013:i:1:p:33-37
    DOI: 10.1016/j.econlet.2012.09.012
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    References listed on IDEAS

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