The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2013 English Publisher:Elsevier BVJournal:Economics Letters, volume 118, pages 33-37 (issn: 0165-1765,

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Authors: Paul M. Jones; Eric Olson;

doi: 10.1016/j.econlet.2012.09.012

The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

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Abstract

Abstract Using a new uncertainty index from Baker et al. (2012) , we evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and inflation changed from negative to positive during the late 1990s, whereas the correlation between uncertainty and output is consistently negative.

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