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The effects of inflation uncertainty: some international evidence

Author

Listed:
  • Sajjadur Rahman
  • Apostolos Serletis

Abstract

Purpose - The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries. Design/methodology/approach - The paper uses the econometric framework developed by Elder in the context of a multivariate framework in which a structural vector autoregression (VAR) is modified to accommodate multivariate GARCH‐in‐mean (MGARCH‐M) errors. It calculates the impulse response functions for the multivariate GARCH(1,1)‐in‐mean VAR in order to see whether the specification captures the fundamental dynamics. Findings - The results show that inflation uncertainty has differential effects on output growth across these countries. Originality/value - In the context of multivariate GARCH(1,1)‐in‐mean VAR, this paper uses a non‐recursive identification scheme and separate identification for the large and small economies.

Suggested Citation

  • Sajjadur Rahman & Apostolos Serletis, 2009. "The effects of inflation uncertainty: some international evidence," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 36(5), pages 541-550, September.
    • Handle: RePEc:eme:jespps:v:36:y:2009:i:5:p:541-550
    DOI: 10.1108/01443580910992438
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    Citations

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    Cited by:

    1. Diego Ferreira & Andreza Aparecida Palma, 2018. "Inflation And Inflation Uncertainty In Latin America: A Time-Varying Stochastic Volatility In Mean Approach," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Girijasankar Mallik & Anis Chowdhury, 2011. "Effect of inflation uncertainty, output uncertainty and oil price on inflation and growth in Australia," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 38(4), pages 414-429, September.
    3. Nicholas Apergis & Umit Bulut & Gulbahar Ucler & Serife Ozsahin, 2021. "The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey," Manchester School, University of Manchester, vol. 89(3), pages 259-275, June.
    4. Junaid Khan & Muhammad Faizan Malik & Muhammad Ilyas, 2018. "Banking Sector Performance and Political Stability9apos9s Impact on Economic Growth in Pakistan," Global Economics Review, Humanity Only, vol. 3(1), pages 81-89, June.
    5. Ahmad Zubaidi Baharumshah & Siew-Voon Soon, 2014. "Inflation, inflation uncertainty and output growth: what does the data say for Malaysia?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(3), pages 370-386, May.

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