Inflation and Output Growth Uncertainty and their Relationship with Inflation and Output Growth
AbstractUsing a bivariate GARCH model of inflation and output growth we find evidence that higher inflation and more inflation uncertainty lead to lower output growth in the Japanese economy. These results support the argument of a price stability objective for the monetary authority.
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Bibliographic InfoPaper provided by National University of Ireland Galway, Department of Economics in its series Working Papers with number 0053.
Date of creation: 2001
Date of revision: 2001
Publication status: Published in Economics Letters, 2002, vol. 75/3, pp. 293-301.
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Postal: St. Anthony's College, Newcastle Road, Galway
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More information through EDIRC
Inflation; Output Growth; Uncertainty; Granger-Causality; Bivariate. GARCH;
Other versions of this item:
- Fountas, Stilianos & Karanasos, Menelaos & Kim, Jinki, 2002. "Inflation and output growth uncertainty and their relationship with inflation and output growth," Economics Letters, Elsevier, vol. 75(3), pages 293-301, May.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull 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
- E0 - Macroeconomics and Monetary Economics - - General
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- Holland, A Steven, 1995. "Inflation and Uncertainty: Tests for Temporal Ordering," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 827-37, August.
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