Author: Stilianos Fountas
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Inflation and Output Growth Uncertainty and Their Relationship with Inflation and Output Growth
Author: Stilianos Fountas
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Inflation and Output Growth Uncertainty and Their Relatonship with Inflation and Output Growth
Author: Stilianos Fountas
Publisher:
ISBN:
Category : Industrial productivity
Languages : en
Pages : 8
Book Description
Publisher:
ISBN:
Category : Industrial productivity
Languages : en
Pages : 8
Book Description
Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance
Author: Stilianos Fountas
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We use a bivariate generalized autoregressive conditionally heteroskedastic (GARCH) model of inflation and output growth to examine the causality relationship among nominal uncertainty, real uncertainty and macroeconomic performance measured by the inflation and output growth rates. The application of the constant conditional correlation GARCH(1,1) model leads to a number of interesting conclusions. First, inflation does cause negative welfare effects, both directly and indirectly, i.e. via the inflation uncertainty channel. Secondly, in some countries, more inflation uncertainty provides an incentive to Central Banks to surprise the public by raising inflation unexpectedly. Thirdly, in contrast to the assumptions of some macroeconomic models, business cycle variability and the rate of economic growth are related. More variability in the business cycle leads to more output growth.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
We use a bivariate generalized autoregressive conditionally heteroskedastic (GARCH) model of inflation and output growth to examine the causality relationship among nominal uncertainty, real uncertainty and macroeconomic performance measured by the inflation and output growth rates. The application of the constant conditional correlation GARCH(1,1) model leads to a number of interesting conclusions. First, inflation does cause negative welfare effects, both directly and indirectly, i.e. via the inflation uncertainty channel. Secondly, in some countries, more inflation uncertainty provides an incentive to Central Banks to surprise the public by raising inflation unexpectedly. Thirdly, in contrast to the assumptions of some macroeconomic models, business cycle variability and the rate of economic growth are related. More variability in the business cycle leads to more output growth.
Dynamics of Inflation, Output Growth and Their Uncertainty in the UK
Author: Zeynel Abidin Ozdemir
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
The aim of this paper is to analyse the dynamics relationships between inflation, output growth, and real and nominal uncertainty using the VARFIMA-BEKK MGARCH model of inflation and output growth and quarterly data for the UK covering the 1957:Q2-2006:Q4 period. The analysis is also done for the three sub-periods determined by considering the structural changes such as the Great Moderation in the series of the UK. Two findings are obtained. First, the evidence obtained from the full period supports a number of important conclusions, one of which is mixed evidence regarding the effect of inflation on inflation uncertainty, another one being strong evidence regarding the positive effect of inflation uncertainty on inflation and output growth. Taking this into account, it is possible to put forward that an essential determinant of economic growth is uncertainty about the inflation rate. The last finding for this period is that output growth uncertainty is a positive determinant of the inflation and output growth rate. Second, the evidence found from the sub-periods is that there are no linkages between inflation, output growth and their volatility.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
The aim of this paper is to analyse the dynamics relationships between inflation, output growth, and real and nominal uncertainty using the VARFIMA-BEKK MGARCH model of inflation and output growth and quarterly data for the UK covering the 1957:Q2-2006:Q4 period. The analysis is also done for the three sub-periods determined by considering the structural changes such as the Great Moderation in the series of the UK. Two findings are obtained. First, the evidence obtained from the full period supports a number of important conclusions, one of which is mixed evidence regarding the effect of inflation on inflation uncertainty, another one being strong evidence regarding the positive effect of inflation uncertainty on inflation and output growth. Taking this into account, it is possible to put forward that an essential determinant of economic growth is uncertainty about the inflation rate. The last finding for this period is that output growth uncertainty is a positive determinant of the inflation and output growth rate. Second, the evidence found from the sub-periods is that there are no linkages between inflation, output growth and their volatility.
Inflation, Output Growth and Their Uncertainties
Author: Perekunah B. Eregha
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The study applies a BEKK GARCH-M model to examine the effect of uncertainty on the levels of inflation and output growth in Nigeria. The results suggest a significant positive effect of inflation uncertainty on the level of inflation, supporting the Cukierman and Meltzer (1986) hypothesis. In addition, uncertainty about inflation is found to be detrimental to output growth, supporting the Friedman’s (1977) hypothesis of a negative effect of inflation uncertainty on output growth. Uncertainty about growth does not have a significant effect on both the levels of inflation and output growth. The evidence in this study suggests that Nigeria should put in place policies minimizing inflation uncertainty to avoid its adverse effects on the economy. In addition, the independence relationship between output growth and its uncertainty in Nigeria suggest that they can be treated separately as suggested by business cycle models.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The study applies a BEKK GARCH-M model to examine the effect of uncertainty on the levels of inflation and output growth in Nigeria. The results suggest a significant positive effect of inflation uncertainty on the level of inflation, supporting the Cukierman and Meltzer (1986) hypothesis. In addition, uncertainty about inflation is found to be detrimental to output growth, supporting the Friedman’s (1977) hypothesis of a negative effect of inflation uncertainty on output growth. Uncertainty about growth does not have a significant effect on both the levels of inflation and output growth. The evidence in this study suggests that Nigeria should put in place policies minimizing inflation uncertainty to avoid its adverse effects on the economy. In addition, the independence relationship between output growth and its uncertainty in Nigeria suggest that they can be treated separately as suggested by business cycle models.
Money Growth Uncertainty, Inflation Uncertainty and Real Output Growth
Author: Seungjun Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 284
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 284
Book Description
Inflation and Output Growth Uncertainty in Individual Survey Expectations
Author: Maritta Paloviita
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
This paper studies uncertainty using the ECB Survey of Professional Forecasters' data. We consider both inflation and real GDP growth forecasts at the micro level and explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters' uncertainty, which are based on subjective probability distributions of survey respondents. Our analysis indicates that individual inflation uncertainty is closely related to the output growth uncertainty. In forming expectations, individual forecasters seem to behave according to an uncertainty-augmented hybrid specification of the New Keynesian Phillips curve. We also find evidence that inflation uncertainty has a negative impact on economic activity by decreasing output growth and increasing inflation and lowering the price sensitiveness of aggregate supply.
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
This paper studies uncertainty using the ECB Survey of Professional Forecasters' data. We consider both inflation and real GDP growth forecasts at the micro level and explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters' uncertainty, which are based on subjective probability distributions of survey respondents. Our analysis indicates that individual inflation uncertainty is closely related to the output growth uncertainty. In forming expectations, individual forecasters seem to behave according to an uncertainty-augmented hybrid specification of the New Keynesian Phillips curve. We also find evidence that inflation uncertainty has a negative impact on economic activity by decreasing output growth and increasing inflation and lowering the price sensitiveness of aggregate supply.
Subjective and Ex Post Forecast Uncertainty
Author: Michael P. Clements
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Inflation, Output Growth. and Nominal and Real Uncertainty
Author: Stilianos Fountas
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 42
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 42
Book Description
Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance : Comparing Alternative Exchange Rate Regimes in Eastern Europe
Author: Muhammad Khan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description