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Regime changes in uncertainty channel between inflation and output growth

Sang‐Kuck Chung

Journal of Economic Research2020article
ABDC B
Weight
0.26

Abstract

In order to investigate the presence of regime changes in the effects of real and nominal uncertainty on inflation and output growth, bivariate normal mixture GARCH-in-mean models are developed for monthly data of inflation and output growth in USA. Overall, we find significant evidence in favor of and against four hypotheses depending on regimes. The key idea in this paper is that the model embeds two different regimes of a usual volatility, which occurs most of the time, and an extreme volatility, which occurs rarely

Cite this paper

@article{sang‐kuck2020,
  title        = {{Regime changes in uncertainty channel between inflation and output growth}},
  author       = {Sang‐Kuck Chung},
  journal      = {Journal of Economic Research},
  year         = {2020},
}

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Regime changes in uncertainty channel between inflation and output growth

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.