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

Mustafa Caglayan; Ozge Kandemir Kocaaslan; Kostas Mouratidis

doi:10.1111/sjpe.12087

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 journal › Article › peer-review

15 Citations (Scopus)

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 language	English
Pages (from-to)	135-155
Number of pages	21
Journal	Scottish Journal of Political Economy
Volume	63
Issue number	2
Early online date	12 Jun 2015
DOIs	https://doi.org/10.1111/sjpe.12087
Publication status	Published - May 2016

ASJC Scopus subject areas

Economics and Econometrics
Sociology and Political Science

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title = "Regime dependent effects of inflation uncertainty on real growth: a markov switching approach",

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.",

author = "Mustafa Caglayan and Kocaaslan, \{Ozge Kandemir\} and Kostas Mouratidis",

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AB - 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.

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DO - 10.1111/sjpe.12087

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

Abstract

ASJC Scopus subject areas

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