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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.