The Relationship between Inflation, output growth, and their Uncertainties: Evidence from selected CEE countries
AbstractIn this paper, we examine causal relationships among inflation rate, output growth rate, inflation uncertainty and output uncertainty for ten Central and Eastern European transition countries. For this purpose, we estimate a bivariate GARCH model that includes output growth and inflation rates for each country. Then we use conditional standard deviations of inflation and output to proxy nominal and real uncertainty, respectively, and perform Granger-causality tests. Our results suggest that inflation rate induces uncertainty about both inflation rate and output growth rate, which is detrimental for real economic activity. On the other hand, we find that output growth rate reduces macroeconomic uncertainty. In addition, we also examine and discuss causal relationships among remaining variables.
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Bibliographic InfoPaper provided by Hacettepe University, Department of Economics in its series Hacettepe University Department of Economics Working Papers with number 20128.
Length: 37 pages
Date of creation: 2012
Date of revision:
Contact details of provider:
Postal: Hacettepe University, Faculty of Economics and Administrative Sciences, Department of Economics, Ankara, Turkey
Phone: 0090 312 297 8652
Fax: (312) 299 2003
Web page: http://www.iktisat.hacettepe.edu.tr
More information through EDIRC
Inflation; Output growth; Uncertainty; Granger-Causality Tests; Transition Countries;
Other versions of this item:
- MÃƒÂ¼bariz Hasanov & Tolga Omay, 2011. "The Relationship Between Inflation, Output Growth, and Their Uncertainties: Evidence from Selected CEE Countries," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(0), pages 5-20, July.
- Hasanov, Mübariz & Omay, Tolga, 2010. "The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries," MPRA Paper 23764, University Library of Munich, Germany.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-01 (All new papers)
- NEP-EEC-2012-02-01 (European Economics)
- NEP-FDG-2012-02-01 (Financial Development & Growth)
- NEP-MAC-2012-02-01 (Macroeconomics)
- NEP-MON-2012-02-01 (Monetary Economics)
- NEP-TRA-2012-02-01 (Transition Economics)
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