Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7
AbstractWe use univariate GARCH models of inflation and output growth and monthly data on inflation and output growth in the G7 for the 1960-2000 period to examine all possible causal relationships between inflation, output growth, real, and nominal uncertainty, and hence test for a number of economic theories. We derive a number of important results: First, we find strong evidence that inflation is a negative determinant of output growth. This effect works both directly and indirectly, i.e., via the inflation uncertainty channel. Second, we obtain evidence supporting the Cukierman-Meltzer hypothesis in most countries. In Japan the stabilisation hypothesis seems to hold. Finally, in most countries we find that output growth uncertainty is a positive determinant of the growth rate as predicted by Black (1987).
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Money and Finance.
Volume (Year): 26 (2007)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/inca/30443
Other versions of this item:
- Stilianos Fountas & Menelaos Karanasos, 2002. "Inflation, Output Growth, and Nominal and Real Uncertainty: Empirical Evidence for the G7," Working Papers 0064, National University of Ireland Galway, Department of Economics, revised 2002.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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