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The links between inflation, inflation uncertainty and output growth: New time series evidence from Japan

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  • Wilson, Bradley Kemp
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    Article provided by Elsevier in its journal Journal of Macroeconomics.

    Volume (Year): 28 (2006)
    Issue (Month): 3 (September)
    Pages: 609-620

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    Handle: RePEc:eee:jmacro:v:28:y:2006:i:3:p:609-620

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    Web page: http://www.elsevier.com/locate/inca/622617

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    1. Fahim Al-Marhubi, 1998. "Cross-country evidence on the link between inflation volatility and growth," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(10), pages 1317-1326.
    2. Fountas, Stilianos & Karanasos,Menelaos, 2001. "Inflation and Output Growth Uncertainty and their Relationship with Inflation and Output Growth," Working Papers 0053, National University of Ireland Galway, Department of Economics, revised 2001.
    3. Logue, Dennis E & Sweeney, Richard James, 1981. "Inflation and Real Growth: Some Empirical Results: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 13(4), pages 497-501, November.
    4. Evans, Martin, 1991. "Discovering the Link between Inflation Rates and Inflation Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 23(2), pages 169-84, May.
    5. John A. Carlson, 1977. "A Study of Price Forecasts," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 1, pages 27-56 National Bureau of Economic Research, Inc.
    6. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    7. Katsimbris, George M, 1985. "The Relationship between the Inflation Rate, Its Variability, and Output Growth Variability: Disaggregated International Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 17(2), pages 179-88, May.
    8. Cukierman, Alex & Meltzer, Allan H, 1986. "A Theory of Ambiguity, Credibility, and Inflation under Discretion and Asymmetric Information," Econometrica, Econometric Society, Econometric Society, vol. 54(5), pages 1099-1128, September.
    9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
    10. Allan D. Brunner & Gregory D. Hess, 1990. "Are higher levels of inflation less predictable? A state-dependent conditional heteroskedasticity approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 141, Board of Governors of the Federal Reserve System (U.S.).
    11. Friedman, Milton, 1977. "Nobel Lecture: Inflation and Unemployment," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 85(3), pages 451-72, June.
    12. Todd E. Clark, 1993. "Cross-country evidence on long run growth and inflation," Research Working Paper, Federal Reserve Bank of Kansas City 93-05, Federal Reserve Bank of Kansas City.
    13. R. W. Hafer, 1985. "Inflation uncertainty and a test of the Friedman hypothesis," Working Papers 1985-006, Federal Reserve Bank of St. Louis.
    14. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
    15. Hayford, Marc D., 2000. "Inflation Uncertainty, Unemployment Uncertainty and Economic Activity," Journal of Macroeconomics, Elsevier, Elsevier, vol. 22(2), pages 315-329, April.
    16. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 391-407, March.
    17. Apergis, Nicholas, 2004. "Inflation, output growth, volatility and causality: evidence from panel data and the G7 countries," Economics Letters, Elsevier, vol. 83(2), pages 185-191, May.
    18. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
    19. Dennis W. Jansen, 1989. "Does inflation uncertainty affect output growth? Further evidence," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 43-54.
    20. Kevin B. Grier & �lan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "The asymmetric effects of uncertainty on inflation and output growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 19(5), pages 551-565.
    21. Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 15(3), pages 286-301, August.
    22. Paul Wachtel, 1977. "Survey Measures of Expected Inflation and Their Potential Usefulness," NBER Chapters, in: Analysis of Inflation: 1965-1974, pages 361-402 National Bureau of Economic Research, Inc.
    23. Logue, Dennis E & Willett, Thomas D, 1976. "A Note on the Relation between the Rate and Variability of Inflation," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 43(17), pages 151-58, May.
    24. Barbara Caporale & Tony Caporale, 2002. "Asymmetric effects of inflation shocks on inflation uncertainty," Atlantic Economic Journal, International Atlantic Economic Society, vol. 30(4), pages 385-388, December.
    25. Garey Ramey & Valerie A. Ramey, 1994. "Cross-Country Evidence on the Link Between Volatility and Growth," NBER Working Papers 4959, National Bureau of Economic Research, Inc.
    26. Devereux, Michael, 1989. "A Positive Theory of Inflation and Inflation Variance," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 27(1), pages 105-16, January.
    27. Cukierman, Alex & Wachtel, Paul, 1979. "Differential Inflationary Expectations and the Variability of the Rate of Inflation: Theory and Evidence," American Economic Review, American Economic Association, vol. 69(4), pages 595-609, September.
    28. Cosimano, Thomas F & Jansen, Dennis W, 1988. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 20(3), pages 409-21, August.
    29. Holland, A Steven, 1995. "Inflation and Uncertainty: Tests for Temporal Ordering," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 27(3), pages 827-37, August.
    30. Davis, George & Kanago, Bryce, 1996. "On Measuring the Effect of Inflation Uncertainty on Real GNP Growth," Oxford Economic Papers, Oxford University Press, vol. 48(1), pages 163-75, January.
    31. Mullineaux, Donald J, 1980. "Unemployment, Industrial Production, and Inflation Uncertainty in the United States," The Review of Economics and Statistics, MIT Press, vol. 62(2), pages 163-69, May.
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    Cited by:
    1. María Lorena Marí del Cristo & Marta Gómez-Puig, 2012. "“Pass-through in dollarized countries: should Ecuador abandon the U.S. Dollar?”," IREA Working Papers 201216, University of Barcelona, Research Institute of Applied Economics, revised Oct 2012.
    2. Hanabusa, Kunihiro, 2012. "The effect of 107th OPEC Ordinary Meeting on oil prices and economic performances in Japan," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(3), pages 1666-1672.
    3. Christian Bordes & Samuel Maveyraud, 2008. "The Friedman's and Mishkin's Hypotheses (Re)Considered," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308571, HAL.
    4. Ramprasad Bhar & Girijasankar Mallik, 2012. "Inflation, Inflation Uncertainty and Macroeconomic Performance in Australia," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 42(3), pages 305-318, December.
    5. Paresh Kumar Narayan & Seema Narayan, 2011. "The inflation-output nexus:empirical evidence from India, Brazil and South Africa," Financial Econometics Series 2011_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    6. Dimitrios Varvarigos, 2007. "Volatile public spending in a model of money and sustainable growth," Discussion Paper Series 2007_18, Department of Economics, Loughborough University, revised Jul 2007.
    7. Ramprasad Bhar & Girijasankar Mallik, 2013. "Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK," Empirical Economics, Springer, vol. 45(3), pages 1333-1350, December.
    8. Poomjai Nacaskul & Kritchaya Janjaroen & Suparit Suwanik, 2012. "Economic Rationales for Central Banking: Historical Evolution, Policy Space, Institutional Integrity, and Paradigm Challenges," Working Papers 2012-04, Economic Research Department, Bank of Thailand.
    9. Bhar, Ramprasad & Mallik, Girijasankar, 2010. "Inflation, inflation uncertainty and output growth in the USA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5503-5510.
    10. Chang, Kuang-Liang, 2012. "The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(2), pages 523-536.
    11. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2009. "Understanding the inflation-output nexus for China," China Economic Review, Elsevier, vol. 20(1), pages 82-90, March.
    12. Hanabusa, Kunihiro, 2009. "Causality relationship between the price of oil and economic growth in Japan," Energy Policy, Elsevier, vol. 37(5), pages 1953-1957, May.
    13. Varvarigos, Dimitrios, 2010. "Inflation, volatile public spending, and endogenously sustained growth," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1893-1906, October.
    14. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., number 7736.

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