Inflation, Inflation Uncertainty and Output Growth: Recent Evidence from ASEAN-5 Countries
AbstractThis paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1-2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation uncertainty increases more in response to positive inflation surprises than to negative surprises in all countries; (ii) inflationary shocks affect positively inflation uncertainty as predicted by the Friedman-Ball hypothesis; (iii) there is no evidence to suggest that inflation uncertainty causes inflation, and; (iv) there is evidence that inflation affects growth negatively, both directly and indirectly (via the inflation uncertainty channel). The indirect effect is clearly stronger as it applies in all countries in the sample.
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Bibliographic InfoPaper provided by Department of Economics, University of Macedonia in its series Discussion Paper Series with number 2012_07.
Date of creation: Jul 2012
Date of revision: Jul 2012
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inflation; inflation uncertainty; output growth; ASEAN;
Other versions of this item:
- Siti Hamizah Mohd & Ahmad Zubaidi Baharumshah & Stilianos Fountas, 2013. "Inflation, Inflation Uncertainty And Output Growth: Recent Evidence From Asean-5 Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 58(04), pages 1350030-1-1.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-13 (All new papers)
- NEP-FDG-2012-10-13 (Financial Development & Growth)
- NEP-MON-2012-10-13 (Monetary Economics)
- NEP-SEA-2012-10-13 (South East Asia)
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