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

Mustafa Caglayan, Ozge Kandemir Kocaaslan, Kostas Mouratidis

Research output: Contribution to journalArticle

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.

LanguageEnglish
Pages135-155
Number of pages21
JournalScottish Journal of Political Economy
Volume63
Issue number2
Early online date12 Jun 2015
DOIs
StatePublished - May 2016

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inflation
uncertainty
regime
growth
effect
impact
Markov switching
Modeling

Cite this

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Regime dependent effects of inflation uncertainty on real growth : a markov switching approach. / Caglayan, Mustafa; Kocaaslan, Ozge Kandemir; Mouratidis, Kostas.

In: Scottish Journal of Political Economy, Vol. 63, No. 2, 05.2016, p. 135-155.

Research output: Contribution to journalArticle

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