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“Another Perspective on the Effects of Inflation Uncertainty”

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January 6, 2010
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This paper examines the effects of inflation uncertainty on real economic activityb y utilizing a flexible, dynamic,m ultivariatef rameworkt hata ccom-modates possible interaction between the conditional means and variances. The empirical model is based on a familiar identified vector autoregressive framework, modified to accommodate multivanate generalized autoregressive conditional heteroskedasticity Our empirical model is preferred to the baseline VAR by likelihood based information criteria, and it retains the important dynamics of the underlying VAR. We find that an average shock to inflation uncertainty has tended to reduce output growth over three months by about 22 basis points. Read more.

“Another Perspective on the Effects of Inflation Uncertainty”
John Elder
Journal of Money, Credit and Banking, Vol. 36, No. 5 (Oct., 2004), pp. 911-928.