Inflation uncertainty

被引：0
|
作者：
Serletis, Apostolos [1 ]
Xu, Libo [2 ]
机构：
[1] Univ Calgary, Dept Econ, Calgary, AB, Canada
[2] Lakehead Univ, Dept Econ, Thunder Bay, ON, Canada
来源：
EMPIRICAL ECONOMICS | 2024年 / 66卷 / 05期
关键词：
Markov regime-switching; New Keynesian model; Multivariate GARCH; C32; E52; STRUCTURAL VECTOR AUTOREGRESSIONS; MONETARY-POLICY; IDENTIFICATION; OUTPUT; FLUCTUATIONS; GROWTH;
D O I：
10.1007/s00181-023-02512-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We use a Markov regime switching structural GARCH-in-Mean VAR model for the inflation rate, the output gap, and a short-term nominal interest rate, to investigate the relationship between inflation uncertainty and economic activity in the USA. We find that inflation uncertainty has a negative and statistically significant effect on the output gap. Also, inflation shocks have a negative effect on the output gap, irrespective of whether they are positive or negative, with the asymmetry being caused by the negative effects of inflation uncertainty.
引用
收藏
页码：1903 / 1920
页数：18
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