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Article
Asymmetric Effects of Inflation Shocks on Inflation Uncertainty
Atlantic Economic Journal
  • Barbara Caporale, Ohio University - Main Campus
  • Tony Caporale, University of Dayton
Document Type
Article
Publication Date
12-1-2002
Abstract
The empirically documented regularity that disinflationary shocks are associated with larger output changes than are positive shocks presents an interesting puzzle to macroeconomists. This paper presents, and empirically supports, a new explanation for this asymmetry. The authors show, using a TARCH model, that negative inflationary shocks result in greater inflation uncertainty than positive shocks. As Friedman {1977) argues, and a body of empirical evidence demonstrates, inflation uncertainty leads to lower output growth. Drawing on this explanation, this essay points to an avenue by which the output asymmetry of inflationary shocks can be explained. (JEL E30, E31)
Inclusive pages
385-388
ISBN/ISSN
0197-4254
Publisher
Kluwer Academic Publishers
Peer Reviewed
Yes
Citation Information
Barbara Caporale and Tony Caporale. "Asymmetric Effects of Inflation Shocks on Inflation Uncertainty" Atlantic Economic Journal Vol. 30 Iss. 4 (2002)
Available at: http://works.bepress.com/tony_caporale/5/