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

Creative Commons License

Caglayan M., KANDEMİR KOCAASLAN Ö., Mouratidis K.

SCOTTISH JOURNAL OF POLITICAL ECONOMY, cilt.63, sa.2, ss.135-155, 2016 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 63 Sayı: 2
  • Basım Tarihi: 2016
  • Doi Numarası: 10.1111/sjpe.12087
  • Dergi Adı: SCOTTISH JOURNAL OF POLITICAL ECONOMY
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.135-155
  • Hacettepe Üniversitesi Adresli: Evet

Özet

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.