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Real effects of inflation uncertainty in the US

  • 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)

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.

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File URL: http://www.shef.ac.uk/economics/research/serps/articles/2011_002.html
File Function: First version, 2011
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Paper provided by The University of Sheffield, Department of Economics in its series Working Papers with number 2011002.

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Length: 36 pages
Date of creation: Feb 2011
Date of revision: Feb 2015
Handle: RePEc:shf:wpaper:2011002
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