The Asymmetric Effects of Uncertainty on Inflation and Output Growth
AbstractWe study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war U.S. data. Our results suggest that growth uncertainty is associated with higher average growth and lower average inflation. Inflation uncertainty is significantly negatively correlated with both output growth and average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude.
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Bibliographic InfoPaper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2003 with number 187.
Date of creation: 04 Jun 2003
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growth; inflation; uncertainty; asymmetry; generalised impluse response functions;
Other versions of this item:
- Kevin B. Grier & �lan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "The asymmetric effects of uncertainty on inflation and output growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 551-565.
- E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-06-16 (All new papers)
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