publication . Article . 2015

Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach

Caglayan, M.; Kocaaslan, O.K.; Mouratidis, K.;
Open Access
  • Published: 12 Jun 2015 Journal: Scottish Journal of Political Economy, volume 63, pages 135-155 (issn: 0036-9292, Copyright policy)
  • Publisher: Wiley
  • Country: United Kingdom
Abstract
We empirically investigate the effects of inflation uncertainty on output growth for the United States 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.
Subjects
free text keywords: Economics and Econometrics, Sociology and Political Science, Inflation, media_common.quotation_subject, media_common, Microeconomics, Econometrics, Macroeconomics, Economics, Markov chain, Regime switching
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