In this paper we use GARCH-M methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the United States from 1948 to 1996. We find no evidence that higher inflation uncertainty or higher output growth uncertainty raises the...

We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is...