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The link between macroeconomic performance and variability in the UK

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  • Conrad, Christian
  • Karanasos, Menelaos
  • Zeng, Ning

Abstract

This paper examines the link between inflation, output growth and their respective variabilities. We employ a bivariate GARCH model, which incorporates mean and level effects, to investigate in a unified empirical framework all the possible interactions between the four variables. We show that not only does variability affect performance but the latter influences the former as well. Specifically, inflation has a positive impact on both variabilities.

Suggested Citation

  • Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2010. "The link between macroeconomic performance and variability in the UK," Economics Letters, Elsevier, vol. 106(3), pages 154-157, March.
    • Handle: RePEc:eee:ecolet:v:106:y:2010:i:3:p:154-157
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    Cited by:

    1. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
    2. M. Tariq Majeed & Ayesha Noreen, 2018. "Financial Development and Output Volatility: A Cross-Sectional Panel Data Analysis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(1), pages 97-141, Jan-June.
    3. Vito Polito & Peter Spencer, "undated". "UK Macroeconomic Volatility and the Welfare Costs of Inflation," Discussion Papers 11/21, Department of Economics, University of York.
    4. Glas, Alexander & Hartmann, Matthias, 2016. "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters," Journal of Empirical Finance, Elsevier, vol. 39(PB), pages 215-228.
    5. Kushal Banik Chowdhury & Nityananda Sarkar, 2019. "Regime Dependent Effect Of Output Growth On Output Growth Uncertainty: Evidence From Oecd Countries," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 257-282, July.
    6. Alessandra Canepa, & Karanasos, Menelaos & Paraskevopoulos, Athanasios & Chini, Emilio Zanetti, 2022. "Forecasting Ination: A GARCH-in-Mean-Level Model with Time Varying Predictability," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202212, University of Turin.
    7. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    8. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2020. "A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(3), pages 611-641, August.
    9. Canepa, Alessandra, 2022. "Ination Dynamics and Time-Varying Persistence: The Importance of the Uncertainty Channel," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202211, University of Turin.
    10. Campos, Nauro F. & Karanasos, Menelaos G. & Tan, Bin, 2012. "Two to tangle: Financial development, political instability and economic growth in Argentina," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 290-304.
    11. Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos, 2015. "On the Transmission of Memory in Garch-in-Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 706-720, September.
    12. B. Balaji & S. Raja Sethu Durai & M. Ramachandran, 2018. "Spillover Effects of Real and Nominal Uncertainties in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 143-162, December.
    13. Menelaos Karanasos & Ning Zeng, 2013. "Conditional heteroskedasticity in macroeconomics data: UK inflation, output growth and their uncertainties," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 12, pages 266-288, Edward Elgar Publishing.
    14. Canepa, Alessandra, 2024. "Inflation dynamics and persistence: The importance of the uncertainty channel," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).

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