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The Asymmetric Effects of Uncertainty on Inflation and Output Growth

Author

Listed:
  • Shields, KalvInder

    (University of Melbourne)

  • Kevin B Grier
  • Olan T Henry
  • Nilss Olekalns

Abstract

We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war U.S. data. Our results suggest that growth uncertainty is associated with higher average growth and lower average inflation. Inflation uncertainty is significantly negatively correlated with both output growth and average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude.

Suggested Citation

  • Shields, KalvInder & Kevin B Grier & Olan T Henry & Nilss Olekalns, 2003. "The Asymmetric Effects of Uncertainty on Inflation and Output Growth," Royal Economic Society Annual Conference 2003 187, Royal Economic Society.
  • Handle: RePEc:ecj:ac2003:187
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    growth; inflation; uncertainty; asymmetry; generalised impluse response functions;

    JEL classification:

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

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