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

21 Pages Posted: 4 Apr 2016

See all articles by Mustafa Caglayan

Mustafa Caglayan

Heriot-Watt University - School of Management and Languages

Ozge Kandemir Kocaaslan

Hacettepe University

Kostas Mouratidis

The Sheffield University - Department of Economics

Date Written: May 2016

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‚Äźdependent impact on output growth. A battery of sensitivity checks confirm our findings.

Suggested Citation

Caglayan, Mustafa and Kocaaslan, Ozge Kandemir and Mouratidis, Kostas, Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach (May 2016). Scottish Journal of Political Economy, Vol. 63, Issue 2, pp. 135-155, 2016, Available at SSRN: https://ssrn.com/abstract=2758412 or http://dx.doi.org/10.1111/sjpe.12087

Mustafa Caglayan (Contact Author)

Heriot-Watt University - School of Management and Languages ( email )

Edinburgh EH14 4AS, Scotland
United Kingdom

Ozge Kandemir Kocaaslan

Hacettepe University

Ankara
Turkey

Kostas Mouratidis

The Sheffield University - Department of Economics ( email )

Sheffield, S1 4DT
Great Britain

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