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

Caglayan Mustafa | Zendy; Kocaaslan Ozge Kandemir | Zendy; Mouratidis Kostas | Zendy

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

Author(s) -

Caglayan Mustafa,

Kocaaslan Ozge Kandemir,

Mouratidis Kostas

Publication year - 2016

Publication title -

scottish journal of political economy

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.4

H-Index - 46

eISSN - 1467-9485

pISSN - 0036-9292

DOI - 10.1111/sjpe.12087

Subject(s) - economics , inflation (cosmology) , markov chain , econometrics , sensitivity (control systems) , markov process , monetary economics , macroeconomics , mathematics , physics , statistics , engineering , electronic engineering , theoretical physics

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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