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Inflation volatility and inflation in the wake of the great recession

Author

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  • Semih Emre Çekin

    (Turkish-German University)

  • Victor J. Valcarcel

    (University of Texas at Dallas)

Abstract

A reduced-form investigation reveals that the relationship between the level of inflation and its volatility in the USA may not have been monotonic. This paper quantifies a reversal of the relationship by considering linear and nonlinear estimation methodologies on the trend and volatility of inflation. Our findings suggest that the spikes in inflation volatility in the period after 2008 are related to transitory, rather than permanent movements in inflation, suggesting that the US Great Moderation period may be merely on hold, rather than over with.

Suggested Citation

  • Semih Emre Çekin & Victor J. Valcarcel, 2020. "Inflation volatility and inflation in the wake of the great recession," Empirical Economics, Springer, vol. 59(4), pages 1997-2015, October.
    • Handle: RePEc:spr:empeco:v:59:y:2020:i:4:d:10.1007_s00181-019-01724-2
    DOI: 10.1007/s00181-019-01724-2
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    Cited by:

    1. Garriga, Ana Carolina & Rodriguez, Cesar M., 2023. "Central bank independence and inflation volatility in developing countries," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1320-1341.

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    More about this item

    Keywords

    Inflation volatility; Markov switching; Mixed-frequency regressions; GARCH; MIDAS;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes

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