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Real effects of inflation uncertainty in the US

Author

Listed:
  • Mustafa Caglayan

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

  • Ozge Kandemir

    () (Department of Economics, Hacettepe University, Ankara, Turkey)

  • Kostas Mouratidis

    () (Department of Economics, The University of Sheffield)

Abstract

We empirically investigate the effects of inflation uncertainty on output growth for the US between 1960 and 2012. Modeling output dynamics within a Markov regime switching framework, we provide evidence that inflation uncertainty exerts a negative and regime dependent impact on output growth. A battery of sensitivity checks confirm our findings.

Suggested Citation

  • Mustafa Caglayan & Ozge Kandemir & Kostas Mouratidis, 2011. "Real effects of inflation uncertainty in the US," Working Papers 2011002, The University of Sheffield, Department of Economics, revised Feb 2015.
  • Handle: RePEc:shf:wpaper:2011002
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    File URL: http://www.shef.ac.uk/economics/research/serps/articles/2011_002.html
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Growth; inflation uncertainty; Markov-switching modeling; Markov-switching GARCH;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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