Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach |
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| Authors: | Mustafa Caglayan Ozge Kandemir Kocaaslan Kostas Mouratidis |
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| Institution: | 1. Heriot‐Watt University Edinburgh;2. Hacettepe University;3. University of Sheffield |
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| 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. |
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