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The link between macroeconomic performance and variability in the UK

  • Conrad, Christian
  • Karanasos, Menelaos
  • Zeng, Ning

This paper examines the link between inflation, output growth and their respective variabilities. We employ a bivariate GARCH model, which incorporates mean and level effects, to investigate in a unified empirical framework all the possible interactions between the four variables. We show that not only does variability affect performance but the latter influences the former as well. Specifically, inflation has a positive impact on both variabilities.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4XT3HHV-1/2/8be91d1eb93382ad5a53e3d00a258309
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 106 (2010)
Issue (Month): 3 (March)
Pages: 154-157

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Handle: RePEc:eee:ecolet:v:106:y:2010:i:3:p:154-157
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  17. Christian Conrad & Menelaos Karanasos, 2008. "Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model," Working Papers 0475, University of Heidelberg, Department of Economics, revised Sep 2008.
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