This paper examines the effects of inflation uncertainty on real economic activity by utilizing a flexible, dynamic, multivariate framework that accommodates possible interaction between the conditional means and variances. The empirical model is based on a familiar identified vector autoregressive framework, modified to accommodate multivariate 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.
Founded in 1969, the Journal of Money, Credit and Banking (JMCB) is a leading professional journal read and referred to by scholars, researchers, and policymakers in the areas of money and banking, credit markets, regulation of financial institutions, international payments, portfolio management, and monetary and fiscal policy. The JMCB represents a wide spectrum of viewpoints and specializations in its fields through its advisory board, associate editors, and referees from academic, financial, and governmental institutions around the world.
The Ohio State University Press was established in 1957 and currently publishes 50-60 new books a year. We specialize in literary and cultural studies, (including comics, narrative theory, Victorian studies, and medieval studies) American studies, rhetoric and communication, gender and sexuality studies, and race and ethnic studies (including Black studies and Latinx studies). We also acquire books in regional studies on our Trillium imprint, creative works, on our Mad Creek imprint, and linguistics. In addition to its books, the Press publishes a distinguished group of journals including Inks, the journal of the Comics Studies Society, American Periodicals, Victorians, North American Journal of Celtic Studies, and Narrative.
This item is part of a JSTOR Collection.
For terms and use, please refer to our
Journal of Money, Credit and Banking
© 2004 Ohio State University Press