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The inflation–output nexus: Empirical evidence from India, South Africa, and Brazil

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  • Narayan, Seema
  • Narayan, Paresh Kumar

Abstract

In this paper we study the relationship between output and inflation for India, South Africa and Brazil, using the EGARCH model. For India and South Africa, we find evidence of: (1) the Cukierman and Meltzer hypothesis that inflation volatility raises inflation; (2) the Friedman hypothesis that inflation raises inflation volatility; and (3) the Black hypothesis that output volatility raises output growth, and that output volatility reduces inflation. For Brazil, we do not find any evidence of a systematic relationship between inflation and output growth.

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  • Narayan, Seema & Narayan, Paresh Kumar, 2013. "The inflation–output nexus: Empirical evidence from India, South Africa, and Brazil," Research in International Business and Finance, Elsevier, vol. 28(C), pages 19-34.
    • Handle: RePEc:eee:riibaf:v:28:y:2013:i:c:p:19-34
    DOI: 10.1016/j.ribaf.2012.09.003
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    More about this item

    Keywords

    Output; Inflation; EGARCH model; Volatility;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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