The effects of inflation uncertainty: some international evidence
AbstractPurpose – The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries. Design/methodology/approach – The paper uses the econometric framework developed by Elder in the context of a multivariate framework in which a structural vector autoregression (VAR) is modified to accommodate multivariate GARCH-in-mean (MGARCH-M) errors. It calculates the impulse response functions for the multivariate GARCH(1,1)-in-mean VAR in order to see whether the specification captures the fundamental dynamics. Findings – The results show that inflation uncertainty has differential effects on output growth across these countries. Originality/value – In the context of multivariate GARCH(1,1)-in-mean VAR, this paper uses a non-recursive identification scheme and separate identification for the large and small economies.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Journal of Economic Studies.
Volume (Year): 36 (2009)
Issue (Month): 5 (October)
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Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
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- Girijasankar Mallik & Anis Chowdhury, 2011. "Effect of inflation uncertainty, output uncertainty and oil price on inflation and growth in Australia," Journal of Economic Studies, Emerald Group Publishing, vol. 38(4), pages 414-429, September.
- Christos Floros, 2010. "The impact of the Athens Olympic Games on the Athens Stock Exchange," Journal of Economic Studies, Emerald Group Publishing, vol. 37(6), pages 647-657, September.
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