Regime dependent effects of inflation uncertainty on real growth: a markov switching approach

Mustafa Caglayan*, Ozge Kandemir Kocaaslan, Kostas Mouratidis

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    11 Citations (SciVal)

    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.

    Original languageEnglish
    Pages (from-to)135-155
    Number of pages21
    JournalScottish Journal of Political Economy
    Volume63
    Issue number2
    Early online date12 Jun 2015
    DOIs
    Publication statusPublished - May 2016

    ASJC Scopus subject areas

    • Economics and Econometrics
    • Sociology and Political Science

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