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US Inflation and inflation uncertainty in a historical perspective: The impact of recessions



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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  • Don Bredin & Stilianos Fountas, 2011. "US Inflation and inflation uncertainty in a historical perspective: The impact of recessions," Discussion Paper Series 2011_13, Department of Economics, University of Macedonia, revised Sep 2011.
  • Handle: RePEc:mcd:mcddps:2011_13

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    References listed on IDEAS

    1. Caporale, Guglielmo Maria & Kontonikas, Alexandros, 2009. "The Euro and inflation uncertainty in the European Monetary Union," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 954-971, October.
    2. 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.
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    Cited by:

    1. Chang, Kuang-Liang, 2012. "The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 523-536.

    More about this item


    asymmetric GARCH; recession; inflation uncertainty.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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