Threshold Relationships among Inflation, Financial Market Development and Growth
This paper tests for and estimates non-dynamic panel threshold relationships among inflation, financial market development and growth, where the relationship changes once a threshold level of inflation is reached. Robust statistical support of a single threshold value of inflation (about 14%) is found for this trivariate relationship. A strong positive relationship between growth and financial market development occurs before the threshold, and a strong negative relationship between growth and inflation occurs after the threshold. When an interaction variable between inflation and financial market development is introduced, the relationship between growth and inflation is significantly negative only before the threshold.
|Date of creation:||2000|
|Date of revision:|
|Contact details of provider:|| Postal: Adelaide SA 5005|
Phone: (618) 8303 5540
Web page: http://www.economics.adelaide.edu.au/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruno, Michael & Easterly, William, 1995.
"Inflation crises and long-run growth,"
Policy Research Working Paper Series
1517, The World Bank.
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometric Society, vol. 64(2), pages 413-30, March.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, . "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
- Tom Doan, . "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
- Hansen, Bruce E., 1999.
"Threshold effects in non-dynamic panels: Estimation, testing, and inference,"
Journal of Econometrics,
Elsevier, vol. 93(2), pages 345-368, December.
- Tom Doan, . "PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model," Statistical Software Components RTS00152, Boston College Department of Economics.
- Bruce E. Hansen, 1997. "Threshold effects in non-dynamic panels: Estimation, testing and inference," Boston College Working Papers in Economics 365, Boston College Department of Economics.
- Tom Doan, . "RATS programs to replicate Hansen's example of threshold break in panel data," Statistical Software Components RTZ00088, Boston College Department of Economics.
- Temple, Jonathan, 2000. " Inflation and Growth: Stories Short and Tall," Journal of Economic Surveys, Wiley Blackwell, vol. 14(4), pages 395-426, September.
- Robert J. Barro, 2012.
"Inflation and Economic Growth,"
CEMA Working Papers
568, China Economics and Management Academy, Central University of Finance and Economics.
- Bullard, James & Keating, John W., 1995. "The long-run relationship between inflation and output in postwar economies," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 477-496, December.
- Atje, Raymond & Jovanovic, Boyan, 1993. "Stock markets and development," European Economic Review, Elsevier, vol. 37(2-3), pages 632-640, April.
When requesting a correction, please mention this item's handle: RePEc:adl:wpaper:2000-04. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dmitriy Kvasov)
If references are entirely missing, you can add them using this form.