Another Perspective on the Effects of Inflation Uncertainty
使用灵活的动态多变量框架，研究通胀不确定性对实际经济活动的影响，发现通胀不确定性冲击平均使三个月内产出增长下降约22个基点。
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.