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The impact of inflation uncertainty on economic growth: a MRS-IV approach

Caglayan, M., Kandemir, O. and Mouratidis, K. (2012) The impact of inflation uncertainty on economic growth: a MRS-IV approach. Research Report. Department of Economics, University of Sheffield ISSN 1749-8368


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We empirically investigate inflation uncertainty effects on output growth for the US by implementing a Markov regime switching model as we account for endogeneity problems. We show that inflation uncertainty -obtained from a Markov regime switching GARCH model - has a negative and regime dependent impact on output growth. Moreover, we find that the smooth probability of high growth regime falls long before the recent financial crisis was imminent. This might be driven by a regime dependent causality, an issue which has been left unexplored.

Item Type: Monograph (Research Report)
Copyright, Publisher and Additional Information: The Sheffield Economics Research Paper (SERP) series offers a forum for the research output of the academic staff and research students of the Department of Economics, University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. All papers may be downloaded free on the understanding that the contents are preliminary and therefore permission from the author(s) should be sought before they are referenced.
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) > Sheffield Economics Research Papers Series
Depositing User: Miss Anthea Tucker
Date Deposited: 23 Oct 2012 10:52
Last Modified: 04 Jun 2014 08:18
Published Version: http://www.shef.ac.uk/economics/research/serps/yea...
Status: Published
Publisher: Department of Economics, University of Sheffield
Identification Number: 2012025
URI: http://eprints.whiterose.ac.uk/id/eprint/74682

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