The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model

被引：136

作者：

Jones, Paul M. ^{[1
]}

Olson, Eric ^{[2
]}

机构：

[1] Univ Alabama, Culverhouse Coll Commerce & Business Adm, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA

[2] Pepperdine Univ, Malibu, CA 90263 USA

来源：

ECONOMICS LETTERS | 2013年 / 118卷 / 01期

关键词：

Uncertainty; Multivariate GARCH; Inflation; UNIT-ROOT HYPOTHESIS; OIL-PRICE SHOCK; GREAT CRASH;

D O I：

10.1016/j.econlet.2012.09.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using a new uncertainty index from Baker et al. (2012), we evaluate the time-varying correlation between macroeconomic uncertainty, inflation, and output. Estimation results from a multivariate DCC-GARCH model reveal that the sign of the correlation between macroeconomic uncertainty and inflation changed from negative to positive during the late 1990s, whereas the correlation between uncertainty and output is consistently negative. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：33 / 37

页数：5

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