Grier, Kevin B.; Perry, Mark J. - In: Journal of Applied Econometrics 15 (2000) 1, pp. 45-58
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...