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Volatilidad de la inflación y crecimiento del producto: el caso de México

Author

Listed:
  • Rodolfo Cermeño

    (Division of Economics, CIDE)

  • Nahieli Vasquez Feregrino

Abstract

This paper investigates empirically the relationship between inflation, inflation volatility and output growth in the case of México using monthly data over the period 1993-2011. Specifically a bivariate GARCH-M model is estimated to test the hypotheses that inflation rates are directly related to inflation volatility, and that inflation volatility affects negatively output growth. It is found that higher inflation rates are associated to higher inflation volatility which in turn affects negatively output growth. These results suggest that policies aimed to reduce inflation could have beneficial effects on growth through the specific channel of reducing inflation volatility.

Suggested Citation

  • Rodolfo Cermeño & Nahieli Vasquez Feregrino, 2012. "Volatilidad de la inflación y crecimiento del producto: el caso de México," Working papers DTE 537, CIDE, División de Economía.
    • Handle: RePEc:emc:wpaper:dte537
    as

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    File URL: http://www.economiamexicana.cide.edu/RePEc/emc/pdf/DTE/DTE537.pdf
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    More about this item

    Keywords

    Volatility; growth; inflation; inflation uncertainty; multivariate GARCH models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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