In this paper, we examine causal relationships among inflation rate, output growth rate, inflation uncertainty and … inflation and output to proxy nominal and real uncertainty, respectively, and perform Granger-causality tests. Our results … suggest that inflation rate induces uncertainty about both inflation rate and output growth rate, which is detrimental for …

show that the existence of Granger-causality is observed from nominal uncertainty to inflation, from nominal uncertainty to … real uncertainty, from output growth to real uncertainty, from output growth to nominal uncertainty and from inflation to … investigate the Granger causality relationships between output growth, inflation rate and their uncertainties. Our test results …

How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by … conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty … particular, an increase in financial uncertainty is found to trigger a negative and significant response of both short and long …