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On Measuring the Effect of Inflation Uncertainty on Real GNP Growth

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Author Info
Davis, George
Kanago, Bryce

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Abstract

In this paper we reexamine the relationship between inflation uncertainty and total output. To properly specify an estimating equation, we investigate the time series properties of two frequently used measures of inflation uncertainty. We fail to reject the hypothesis that each series has a unit root. However, the uncertainty measures are not cointegrated with output and relative oil prices. This means that the proper specification is in terms of differences. With this specification we find that an increase in inflation uncertainty growth reduces real GNP growth but, unlike earlier work, we find that this effect is temporary. It is also unlikely that an inflation uncertainty shock on its own could produce a recession. Copyright 1996 by Royal Economic Society.

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Article provided by Oxford University Press in its journal Oxford Economic Papers.

Volume (Year): 48 (1996)
Issue (Month): 1 (January)
Pages: 163-75
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Handle: RePEc:oup:oxecpp:v:48:y:1996:i:1:p:163-75

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  1. Tabakis, Nikolaos, 2001. "A Multivariate Model for the Relationship Between Agricultural Prices and Inflation Uncertainty: Evidence Using Greek Data," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 2(1), January. [Downloadable!]
  2. 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. [Downloadable!] (restricted)
  3. E Andreou & A Pelloni & M Sensier, 2003. "The effect of nominal shock uncertainty on output growth," Centre for Growth and Business Cycle Research Discussion Paper Series 40, Economics, The Univeristy of Manchester. [Downloadable!]
  4. Hakan Berument & Nildag Basak Ceylan & Hasan Olgun, 2007. "Inflation uncertainty and interest rates: is the Fisher relation universal?," Applied Economics, Taylor and Francis Journals, vol. 39(1), pages 53-68, January. [Downloadable!] (restricted)
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  5. Hakan Berument & N. Nergiz Dincer, 2004. "The effects of exchange rate risk on economic performance: the Turkish experience," Applied Economics, Taylor and Francis Journals, vol. 36(21), pages 2429-2441, December. [Downloadable!] (restricted)
    Other versions:
  6. Gerald Stuber, 2001. "Implications of Uncertainty about Long-Run Inflation and the Price Level," Working Papers 01-16, Bank of Canada. [Downloadable!]
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