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US Infl ation and infl ation uncertainty in a historical perspective: The impact of recessions

Author

Listed:
  • Don Bredin

    (University College Dublin)

  • Stilianos Fountas

    (University of Macedonia)

Abstract

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.

Suggested Citation

  • Don Bredin & Stilianos Fountas, 2011. "US Infl ation and infl ation uncertainty in a historical perspective: The impact of recessions," Working Papers 201053, Geary Institute, University College Dublin.
  • Handle: RePEc:ucd:wpaper:201053
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    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp201053.pdf
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    References listed on IDEAS

    as
    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

    Keywords

    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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