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The Asymmetric Effects of Uncertainty on Inflation and Output Growth Author info | Abstract | Publisher info | Download info | Related research | Statistics Shields, KalvInder (University of Melbourne)
Kevin B Grier
Olan T Henry
Nilss Olekalns
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We 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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Paper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2003 with number
187.
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Date of creation: 04 Jun 2003Date of revision:
Handle: RePEc:ecj:ac2003:187Contact details of provider: Web page: http://www.res.org.uk/society/annualconf.asp More information through EDIRC
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Keywords: growth inflation uncertainty asymmetry generalised impluse response functions Other versions of this item:
Find related papers by JEL classification: E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
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