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Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach

Author

Listed:
  • Vasilios Plakandaras

    (Department of Economics, Democritus University of Thrace, Komotini, Greece)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Periklis Gogas

    (Department of Economics, Democritus University of Thrace, Komotini, Greece)

  • Theophilos Papadimitriou

    (Department of Economics, Democritus University of Thrace, Komotini, Greece)

Abstract

In this paper, we evaluate the causal relationship between macroeconomic uncertainty indices, inflation and growth rate for 17 Eurozone countries on a county level examination. In performing a series of linear and non-linear causality tests we find little evidence of a causal relationship between uncertainty and macroeconomic variables. Thus, macroeconomic analysis based on uncertainty indices should be treated with caution.

Suggested Citation

  • Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou, 2017. "Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach," Working Papers 201737, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201737
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    More about this item

    Keywords

    Output growth; inflation; uncertainty; causality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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