Inflation, inflation uncertainty and growth: are they related ?
AbstractWe examine the relationship between inflation uncertainty, inflation and growth using annual historical data on industrial countries covering in many cases more than one century. Proxying inflation uncertainty by the conditional variance of inflation shocks, we obtain the following results. (1) There is significant evidence for the positive effect of inflation uncertainty on inflation supporting the Cukierman-Meltzer hypothesis. (2) There is mixed evidence on the causal effect of inflation on inflation uncertainty. (3) There is strong evidence that inflation uncertainty is not detrimental to output growth.
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Bibliographic InfoPaper provided by Department of Economics, University of Macedonia in its series Discussion Paper Series with number 2010_12.
Date of creation: Dec 2010
Date of revision: Dec 2010
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Inflation uncertainty; growth; GARCH models;
Other versions of this item:
- Fountas, Stilianos, 2010. "Inflation, inflation uncertainty and growth: Are they related?," Economic Modelling, Elsevier, vol. 27(5), pages 896-899, September.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- O40 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-09-11 (All new papers)
- NEP-CBA-2010-09-11 (Central Banking)
- NEP-FDG-2010-09-11 (Financial Development & Growth)
- NEP-MAC-2010-09-11 (Macroeconomics)
- NEP-MON-2010-09-11 (Monetary Economics)
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