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Macroeconomic uncertainty, growth and inflation in the Eurozone: a causal approach

Author

Listed:
  • Vasilios Plakandaras
  • Rangan Gupta
  • Periklis Gogas
  • Theophilos Papadimitriou

Abstract

In this article, we evaluate the causal relationship between macroeconomic uncertainty indices, inflation and growth rate for 17 Eurozone countries on a county-level examination. In performing a series of linear and nonlinear causality tests, we find little evidence of a causal relationship between uncertainty and macroeconomic variables. Thus, macroeconomic analysis based on uncertainty indices should be treated with caution.

Suggested Citation

  • Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou, 2018. "Macroeconomic uncertainty, growth and inflation in the Eurozone: a causal approach," Applied Economics Letters, Taylor & Francis Journals, vol. 25(14), pages 1029-1033, August.
    • Handle: RePEc:taf:apeclt:v:25:y:2018:i:14:p:1029-1033
    DOI: 10.1080/13504851.2017.1391996
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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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