Inflation, Inflation Uncertainty and Macroeconomic Performance in Australia
AbstractUsing quarterly data this study finds that inflation uncertainty have negative and significant effects on inflation and output growth at least after the inflation targeting. We also find that output uncertainty has negative and significant effect on inflation. The study uses a newly constructed oil price dummy variable as a control variable and finds that oil price changes significantly increase the inflation uncertainty. These findings are robust and the Generalised Impulse Response Functions corroborate the conclusions. These results have important implications for inflation targeting (IT) monetary policy, and the aim of stabilisation policy in general.
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Bibliographic InfoArticle provided by Queensland University of Technology (QUT), School of Economics and Finance in its journal Economic Analysis and Policy (EAP).
Volume (Year): 42 (2012)
Issue (Month): 3 (December)
EGARCH; Inflation; Growth; Inflation Uncertainty; Output Uncertainty; Impulse Response;
Find related papers by JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
- E64 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Incomes Policy; Price Policy
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