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


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

SCOTTISH JOURNAL OF POLITICAL ECONOMY, vol.63, no.2, pp.135-155, 2016 (Peer-Reviewed Journal) identifier identifier

  • Publication Type: Article / Article
  • Volume: 63 Issue: 2
  • Publication Date: 2016
  • Doi Number: 10.1111/sjpe.12087
  • Journal Name: SCOTTISH JOURNAL OF POLITICAL ECONOMY
  • Journal Indexes: Social Sciences Citation Index, Scopus
  • Page Numbers: pp.135-155

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.