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Inflation Uncertainty (inflation + uncertainty)
Selected AbstractsDOES THE MAGNITUDE OF THE EFFECT OF INFLATION UNCERTAINTY ON OUTPUT GROWTH DEPEND ON THE LEVEL OF INFLATION?THE MANCHESTER SCHOOL, Issue 2 2010KUANG-LIANG CHANG A bivariate Markov regime switching model is employed to verify whether the relationship between inflation and inflation uncertainty, or the negative effects of inflation and inflation uncertainty on output growth, vary with the level of inflation. Inflation and inflation uncertainty are positively correlated in the high-inflation regime. In contrast, in the low-inflation regime, the direct effect of inflation on output growth is insignificant, but the indirect negative effect on growth via inflation uncertainty is highly significant. The negative influence in a high-inflation regime is 2.664 times greater than that in a low-inflation regime. [source] Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic PerformanceOXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 3 2006Stilianos Fountas Abstract 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. [source] Inflation Uncertainty and Monetary Policy in ChinaCHINA AND WORLD ECONOMY, Issue 3 2010Chengsi Zhang E31; E52; E58; E61 Abstract This paper uses a stochastic volatility model, structural break tests with unknown point, and a counterfactual simulation method to discuss the significant decline in inflation uncertainty in China over 1978,2009. We attempt to quantify the contributions of better monetary policy and smaller structural shocks (including demand, supply and policy impacts) on the reduced inflation uncertainty. Empirical results in the present paper suggest that improved monetary policy accounts for only a small fraction of the reduction in inflation uncertainty from the pre-1997 period to the post-1997 period in China. The bulk of the significant moderation in inflation uncertainty arises from smaller shocks. This finding indicates that the quiescence of inflation in China over the past decade could well be followed by a return to a more turbulent inflation era. Therefore, the use of preemptive monetary policy to anchor inflationary expectations and keep moderate inflation uncertainty is warranted. [source] The asymmetric effects of uncertainty on inflation and output growthJOURNAL OF APPLIED ECONOMETRICS, Issue 5 2004Kevin B. Grier We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude. Copyright © 2004 John Wiley & Sons, Ltd. [source] Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic PerformanceOXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 3 2006Stilianos Fountas Abstract 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. [source] DOES THE MAGNITUDE OF THE EFFECT OF INFLATION UNCERTAINTY ON OUTPUT GROWTH DEPEND ON THE LEVEL OF INFLATION?THE MANCHESTER SCHOOL, Issue 2 2010KUANG-LIANG CHANG A bivariate Markov regime switching model is employed to verify whether the relationship between inflation and inflation uncertainty, or the negative effects of inflation and inflation uncertainty on output growth, vary with the level of inflation. Inflation and inflation uncertainty are positively correlated in the high-inflation regime. In contrast, in the low-inflation regime, the direct effect of inflation on output growth is insignificant, but the indirect negative effect on growth via inflation uncertainty is highly significant. The negative influence in a high-inflation regime is 2.664 times greater than that in a low-inflation regime. [source] MACROECONOMIC UNCERTAINTY AND MACROECONOMIC PERFORMANCE: ARE THEY RELATED?THE MANCHESTER SCHOOL, Issue 2005DON BREDIN We use a very general bivariate generalized autoregressive conditional heteroskedasticity-in-mean model and G7 monthly data covering the 1957,2003 period to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth. Our evidence supports a number of important conclusions. First, in most countries output growth uncertainty is a positive determinant of the output growth rate. Second, there is mixed evidence regarding the effect of inflation uncertainty on inflation and output growth. Hence, contrary to popular belief, uncertainty about the inflation rate is not necessarily detrimental to economic growth but in some cases it may also enhance growth. Finally, there is mixed evidence on the effect of output uncertainty on inflation. In sum, our results indicate that macroeconomic uncertainty may even improve macroeconomic performance. [source] Business Cycle Volatility, Uncertainty and Long-run GrowthTHE MANCHESTER SCHOOL, Issue 5 2001Richard Kneller Using data for 24 OECD economies from 1961 to 1997 we investigate whether the empirical relationship between business cycle volatility and long-run growth is positive, as Blackburn (Economic Journal, Vol. 109, No. 1 (1999), pp. 67,77) suggests, or negative, the view of the UK and other governments. The existing empirical literature is ambiguous on this issue. Here we account for the disparate results and find a significant negative relationship. This relationship is found to depend crucially on the time dimension of the data. We also find that oil price volatility and inflation uncertainty, as indicators of world and general shocks, are robustly correlated with growth. [source] Inflation Uncertainty and Monetary Policy in ChinaCHINA AND WORLD ECONOMY, Issue 3 2010Chengsi Zhang E31; E52; E58; E61 Abstract This paper uses a stochastic volatility model, structural break tests with unknown point, and a counterfactual simulation method to discuss the significant decline in inflation uncertainty in China over 1978,2009. We attempt to quantify the contributions of better monetary policy and smaller structural shocks (including demand, supply and policy impacts) on the reduced inflation uncertainty. Empirical results in the present paper suggest that improved monetary policy accounts for only a small fraction of the reduction in inflation uncertainty from the pre-1997 period to the post-1997 period in China. The bulk of the significant moderation in inflation uncertainty arises from smaller shocks. This finding indicates that the quiescence of inflation in China over the past decade could well be followed by a return to a more turbulent inflation era. Therefore, the use of preemptive monetary policy to anchor inflationary expectations and keep moderate inflation uncertainty is warranted. [source] | ||||||||||