On Measuring the Effect of Inflation Uncertainty on Real GNP Growth
AbstractIn 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Oxford University Press in its journal Oxford Economic Papers.
Volume (Year): 48 (1996)
Issue (Month): 1 (January)
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Web page: http://oep.oupjournals.org/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Caporale, Guglielmo Maria & Paesani, Paolo & Onorante, Luca, 2010.
"Inflation and inflation uncertainty in the euro area,"
Working Paper Series
1229, European Central Bank.
- Guglielmo Caporale & Luca Onorante & Paolo Paesani, 2012. "Inflation and inflation uncertainty in the euro area," Empirical Economics, Springer, vol. 43(2), pages 597-615, October.
- Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009. "Inflation and Inflation Uncertainty in the Euro Area," Discussion Papers of DIW Berlin 909, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009. "Inflation and Inflation Uncertainty in the Euro Area," CESifo Working Paper Series 2720, CESifo Group Munich.
- Hakan Berument & Nildag Basak Ceylan & Hasan Olgun, 2007.
"Inflation uncertainty and interest rates: is the Fisher relation universal?,"
Taylor & Francis Journals, vol. 39(1), pages 53-68.
- Hakan Berument & Hasan Olgun & Baþak Ceylan, 2006. "Inflation Uncertainty and Interest Rates : Is The Fisher Relation Universal?," Departmental Working Papers 0607, Bilkent University, Department of Economics.
- Hakan Berument & N. Nergiz Dincer, 2004.
"The effects of exchange rate risk on economic performance: the Turkish experience,"
Taylor & Francis Journals, vol. 36(21), pages 2429-2441.
- Hakan Berument & Nergiz Dinçer, 2005. "The Effects of Exchange Rate Risk on Economic Performance : The Turkish Experience," Departmental Working Papers 0513, Bilkent University, Department of Economics.
- 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.
- Wu, Jyh-Lin & Chen, Show-Lin & Lee, Hsiu-Yun, 2003. "Sources of inflation uncertainty and real economic activity," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 397-409, September.
- Koop, Gary & Onorante, Luca, 2011.
"Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters,"
SIRE Discussion Papers
2011-19, Scottish Institute for Research in Economics (SIRE).
- Koop, Gary & Onorante, Luca, 2012. "Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters," Working Paper Series 1422, European Central Bank.
- Gary Koop & Luca Onorante, 2011. "Estimating Phillips Curves in Turbulent Times using the ECBs Survey of Professional Forecasters," Working Papers 1109, University of Strathclyde Business School, Department of Economics.
- Gerald Stuber, 2001. "Implications of Uncertainty about Long-Run Inflation and the Price Level," Working Papers 01-16, Bank of Canada.
- Wilson, Bradley Kemp, 2006. "The links between inflation, inflation uncertainty and output growth: New time series evidence from Japan," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 609-620, September.
- Cheikh Tidiane Ndiaye & Mamadou Abdoulaye Konte, 2012. "Incertitude de l'inflation et croissance économique : le cas de l'UEMOA," Working Papers halshs-00828156, HAL.
- Di Bartolomeo Giovanni & Giuli Francesco, 2009.
"Fiscal and monetary interaction under monetary policy uncertainty,"
0061, Department of Communication, University of Teramo.
- Di Bartolomeo, Giovanni & Giuli, Francesco, 2011. "Fiscal and monetary interaction under monetary policy uncertainty," European Journal of Political Economy, Elsevier, vol. 27(2), pages 369-375, June.
- Hayford, Marc D., 2000. "Inflation Uncertainty, Unemployment Uncertainty and Economic Activity," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 315-329, April.
- Tabakis, Nikolaos M., 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.
- 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.
- Jeffrey Edwards, 2006.
"Politics, Inflation, and the Mundell-Tobin Effect,"
The Journal of Economics,
Missouri Valley Economic Association, vol. 32(2), pages 9-30.
- 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.
- Kuang-Liang Chang & Chi-Wei He, 2010. "Does The Magnitude Of The Effect Of Inflation Uncertainty On Output Growth Depend On The Level Of Inflation?," Manchester School, University of Manchester, vol. 78(2), pages 126-148, 03.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.