Inflation, inflation uncertainty and output growth in the USA
AbstractEmploying a multivariate EGARCH-M model, this study investigates the effects of inflation uncertainty and growth uncertainty on inflation and output growth in the United States. Our results show that inflation uncertainty has a positive and significant effect on the level of inflation and a negative and significant effect on the output growth. However, output uncertainty has no significant effect on output growth or inflation. The oil price also has a positive and significant effect on inflation. These findings are robust and have been corroborated by use of an impulse response function. These results have important implications for inflation-targeting monetary policy, and the aim of stabilization policy in general.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 389 (2010)
Issue (Month): 23 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Inflation; Growth; Inflation uncertainty; Oil price; EGARCH; Impulse response;
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