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The asymmetric effects of uncertainty on inflation and output growth*

* This paper has been replicated

Author

Listed:
  • Kevin B. Grier

    (Department of Economics, University of Oklahoma, USA)

  • Ólan T. Henry

    (Department of Economics, University of Melbourne, Australia)

  • Nilss Olekalns

    (Department of Economics, University of Melbourne, Australia)

  • Kalvinder Shields

    (Department of Economics, University of Melbourne, Australia)

Abstract

We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude. Copyright © 2004 John Wiley & Sons, Ltd.

Suggested Citation

  • Kevin B. Grier & Ólan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "The asymmetric effects of uncertainty on inflation and output growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 551-565.
    • Handle: RePEc:jae:japmet:v:19:y:2004:i:5:p:551-565
    DOI: 10.1002/jae.763
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    Replication

    This item has been replicated by:
  • Christos S. Savva, 2016. "Replication of Grier, Henry, Olekalns and Shields (2004): the Asymmetric Effects of Uncertainty on Inflation and Output Growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1192-1196, September.

    • More about this item

    JEL classification:

    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other

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