title: Modeling the link between US inflation and output: the importance of the uncertainty channel
creator: Conrad, Christian
creator: Karanasos, Menelaos
subject: ddc-330
subject: 330 Economics
description: This paper employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework we examine the twelve potential intertemporal relationships between inflation, growth and their respective uncertainties using US data. We find that high inflation is detrimental to output growth both directly and indirectly via the nominal uncertainty. Output growth boosts inflation but mainly indirectly through a reduction in real uncertainty. Our findings highlight that macroeconomic performance affects nominal and real uncertainty in many ways and that the bidirectional relation between inflation and growth works to a large extend indirectly via the uncertainty channel.
date: 2010
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/11311/1/Conrad_Karanasos_2010_dp507.pdf
identifier: DOI:10.11588/heidok.00011311
identifier: urn:nbn:de:bsz:16-opus-113115
identifier:   Conrad, Christian ; Karanasos, Menelaos  (2010) Modeling the link between US inflation and output: the importance of the uncertainty channel.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/11311/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng