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    Changing inflation dynamics and uncertainty in the United States

    Date
    2009-01
    Author
    Miles, William
    Vijverberg, Chu-Ping C.
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    Citation
    Miles, William Vijverberg, Chu-Ping C. Changing inflation dynamics and uncertainty in the United States. 2009. Southern Economic Journal, vol. 75:no.3:pp 736-749
    Abstract
    Inflation uncertainty has been shown theoretically and empirically to lower real Output (Friedman 1977; Grier et al. 2004). Employing a Markov-switching model with regime-varying variance, as well as more traditional generalized autoregressive conditional heteroskedasticity (GARCH) estimation, we investigate recent changes in the level, persistence, and uncertainty of U.S. inflation. Despite the great strides in lowering inflation in the 1980s and 1990s. we find that uncertainty has risen palpably in the Current decade. This is disturbing given the aforementioned findings of the negative impact of inflation uncertainty oil Output. Moreover, analyzing both the standard Consumer Price Index (CPI) and the CPI minus energy, Our results Suggest that volatile energy costs contribute to the higher inflation uncertainty in the United States in the current decade.
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    URI
    http://EconPapers.repec.org/RePEc:sej:ancoec:v:75:3:y:2009:p:736-749
    http://hdl.handle.net/10057/13029
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