通货膨胀对产出的不确定性影响:MRS-IV方法

IF 0.7 Q3 ECONOMICS Review of Economic Analysis Pub Date : 2015-11-27 DOI:10.15353/rea.v7i1.1483
M. Çaglayan, Ozge Kandemir Kocaaslan, Konstantinos Mouratidis
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引用次数: 1

摘要

在本文中,我们提出了一个分析框架来探讨通胀水平和波动性对产出缺口的影响。利用1977年第二季度至2009年第四季度的美国季度数据,我们通过实施工具变量马尔可夫状态转换方法来检验该模型的经验含义。我们表明,通货膨胀不确定性对产出缺口有负的和制度依赖的影响,但通货膨胀水平没有任何这样的影响。我们的实证调查还提供证据表明,在最近的金融危机迫在眉睫之前,美国经济正走向一段动荡时期。这些结果对于使用通货膨胀不确定性的替代措施是稳健的。关键词:输出间隙;通货膨胀不确定性;经建会建模;辅助变量;内生性。JEL分类:E31、E32
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Uncertainty Effects of Inflation on Output: A MRS-IV Approach
In this paper, we propose an analytical framework to explore the level and volatility effects of inflation on the output gap. Using quarterly US data over 1977:q2-2009:q4, we then examine the empirical implications of the model by implementing an instrumental variables Markov regime switching approach. We show that inflation uncertainty has a negative and regime dependent impact on the output gap but the level of inflation does not have any such effect. Our empirical investigation also provides evidence that the US economy is moving towards a period of turmoil before the recent financial crisis was imminent. The results are robust to the use of alternative measures of inflation uncertainty. Keywords: Output gap; inflation uncertainty; Markov-switching modeling; instrumental variables; endogeneity. JEL classification: E31, E32
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来源期刊
CiteScore
1.10
自引率
0.00%
发文量
10
审稿时长
26 weeks
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