The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

被引：125
|
作者：
Jones, Paul M. [1 ]
Olson, Eric [2 ]
机构：
[1] Univ Alabama, Culverhouse Coll Commerce & Business Adm, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA
[2] Pepperdine Univ, Malibu, CA 90263 USA
来源：
ECONOMICS LETTERS | 2013年 / 118卷 / 01期
关键词：
Uncertainty; Multivariate GARCH; Inflation; UNIT-ROOT HYPOTHESIS; OIL-PRICE SHOCK; GREAT CRASH;
D O I：
10.1016/j.econlet.2012.09.012
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using a new uncertainty index from Baker et al. (2012), we evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and inflation changed from negative to positive during the late 1990s, whereas the correlation between uncertainty and output is consistently negative. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：33 / 37
页数：5
相关论文
共 50 条
  • [1] Linear time-varying regression with a DCC-GARCH model for volatility
    Kim, Jong-Min
    Jung, Hojin
    Qin, Li
    [J]. APPLIED ECONOMICS, 2016, 48 (17) : 1573 - 1582
  • [2] Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework
    Moiseev, Nikita
    Sorokin, Aleksander
    Zvezdina, Natalya
    Mikhaylov, Alexey
    Khomyakova, Lyubov
    Danish, Mir Sayed Shah
    [J]. MATHEMATICS, 2021, 9 (19)
  • [3] Time-varying correlation between agricultural commodity and energy price dynamics with Bayesian multivariate DCC-GARCH models
    Shiferaw, Yegnanew A.
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 526
  • [4] Variance Minimization Hedging Analysis Based on a Time-Varying Markovian DCC-GARCH Model
    Wang, Jia
    Zhou, MengChu
    Jin, Xiu
    Guo, Xiwang
    Qi, Liang
    Wang, Xu
    [J]. IEEE TRANSACTIONS ON AUTOMATION SCIENCE AND ENGINEERING, 2020, 17 (02) : 621 - 632
  • [5] Directional time-varying partial correlation with the Gaussian copula-DCC-GARCH model
    Kim, Jong-Min
    Jung, Hojin
    [J]. APPLIED ECONOMICS, 2018, 50 (41) : 4418 - 4426
  • [6] Time-Varying Relationship between Inflation and Inflation Uncertainty
    Hou, Chenghan
    [J]. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2020, 82 (01) : 83 - 124
  • [7] Research on the Correlation between the SHIBOR and Stock Market Returns Based on the DCC-GARCH Model
    Lu Xiuhong
    Zhu Zhengxuan
    [J]. 2016 13TH INTERNATIONAL CONFERENCE ON SERVICE SYSTEMS AND SERVICE MANAGEMENT, 2016,
  • [8] Dynamic Correlation Research on Grain Markets Based on DCC-GARCH Model
    Ge, Yan
    Wu, Haixia
    [J]. PROCEEDINGS OF THE 2017 3RD INTERNATIONAL CONFERENCE ON ECONOMICS, SOCIAL SCIENCE, ARTS, EDUCATION AND MANAGEMENT ENGINEERING (ESSAEME 2017), 2017, 119 : 767 - 772
  • [9] Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models
    Ringim, Salim Hamza
    Alhassan, Abdulkareem
    Gungor, Hasan
    Bekun, Festus Victor
    [J]. ENERGIES, 2022, 15 (10)
  • [10] Dynamic correlation analysis between Cer spot and futures prices based on a DCC-GARCH model
    [J]. 1600, Universidad Central de Venezuela (55):
12345