eprintid: 11311
rev_number: 13
eprint_status: archive
userid: 1
dir: disk0/00/01/13/11
datestamp: 2010-11-26 14:05:19
lastmod: 2015-12-30 16:24:50
status_changed: 2012-08-15 08:56:23
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Karanasos, Menelaos
title: Modeling the link between US inflation and output: the importance of the uncertainty channel
ispublished: pub
subjects: ddc-330
divisions: i-181000
keywords: Bivariate GARCH process , volatility feedback , inflation uncertainty , output variability
abstract: 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.
abstract_translated_lang: eng
class_scheme: jel
class_labels: E31., C51, C32
date: 2010
date_type: published
id_scheme: DOI
id_number: 10.11588/heidok.00011311
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0507
ppn_swb: 1650473052
own_urn: urn:nbn:de:bsz:16-opus-113115
language: eng
bibsort: CONRADCHRIMODELINGTH2010
full_text_status: public
citation:   Conrad, Christian ; Karanasos, Menelaos  (2010) Modeling the link between US inflation and output: the importance of the uncertainty channel.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/11311/1/Conrad_Karanasos_2010_dp507.pdf