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Inflation and output growth uncertainty and their relationship with inflation and output growth

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  • Fountas, Stilianos
  • Karanasos, Menelaos
  • Kim, Jinki

Abstract

Using 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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  • 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.
    • Handle: RePEc:eee:ecolet:v:75:y:2002:i:3:p:293-301
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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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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