Skip to main content

July/August 1989, 
Vol. 71, No. 4
Posted 1989-07-01

Does Inflation Uncertainty Affect Output Growth? Further Evidence

by Dennis W. Jansen

Dennis W. Jansen studies the hypothesized negative relationship between inflation uncertainty and output growth. Using a bivariate ARCH-M (Autoregressive Conditional Heteroskedasticity in Mean) model, the one period-ahead conditional forecast error of inflation is taken as a measure of inflation uncertainty. Estimates of this model indicate that over the last several decades there is little evidence that inflation uncertainty influenced output growth.