Weitere Artikel dieser Ausgabe durch Wischen aufrufen
This paper examines the spillover effects and the causality between inflation, output growth and its uncertainties for India. Using monthly data for the period from April 1980 to April 2011, we estimated a bi-variate GARCH in mean with BEKK representations. This study differs from the earlier works where the parameters in the BEKK representations are estimated individually and the inferences are drawn on the basis of the individual lagged variance, covariance, and error terms from the respective equations. The empirical evidence suggests that inflation uncertainty seems to have significant negative impact on output growth and positive impact on output uncertainty and there is a positive influence of output uncertainty on the inflation. More importantly, there are spillovers and volatility transmission effects between the macroeconomic uncertainties where the volatility in output growth is significantly influenced by the shocks and volatility in inflation.
Bitte loggen Sie sich ein, um Zugang zu diesem Inhalt zu erhalten
Sie möchten Zugang zu diesem Inhalt erhalten? Dann informieren Sie sich jetzt über unsere Produkte:
Abel, A. 1983. Optimal investment under uncertainty. American Economic Review 73: 228–233.
Berument, H., Y. Yalcin, and Y. Yildirim. 2009. The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework. Economic Modeling 26 (6): 1201–1207. CrossRef
Black, F. 1987. Business Cycles and Equilibrium. New York: Basil Blackwell.
Bollerslev, T. 1988. A Multivariate Generalized ARCH Model with Constant Conditional Correlations for a Set of Exchange Rates. Northwestern University, Manuscript.
Bredin, D., and S. Fountas. 2005. Macroeconomic uncertainty and macroeconomic performance: Are they related? The Manchester School 73: 58–76. CrossRef
Bredin, D., J. Elder, and S. Fountas. 2009. Macroeconomic uncertainty and performance in Asian countries. Review of Development Economics 13: 215–229. CrossRef
Cecchetti, S., and Ehrmann M. 1999. Does inflation targeting increase output volatility? An international comparison of policymaker’s preference and outcomes. NBER Working Paper No. 7426.
Chang, K.L., and C. He. 2010. Does the magnitude of the effect of inflation uncertainty on output growth depend on the level of inflation? The Manchester School 78 (2): 126–148. CrossRef
Clarida, R., J. Gali, and M. Gertler. 1999. The science of monetary policy: A new Keynesian perspective. Journal of Economic Literature XXXVII: 1661–1707. CrossRef
Conrad, C., M. Karanasos, and N. Zeng. 2008. The link between macroeconomic performance and variability in the UK. Economics Letters 106: 154–157. CrossRef
Cukierman, A., and A. Meltzer. 1986. A theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica 54: 1099–1128.
Cukierman, A., and S. Gerlach. 2003. The inflation bias revisited: Theory and some international evidence. The Manchester School 71: 541–565. CrossRef
Darrat, A.F., and F.A. Lopez. 1989. Has inflation uncertainty hampered economic growth in Latin America? International Economic Journal 3: 1–14. CrossRef
Davis, G., and B. Kanago. 1996. On measuring the effect of inflation uncertainty on real GNP growth. Oxford Economic Papers 48: 163–175. CrossRef
Devereux, M. 1989. A positive theory of inflation and inflation variance. Economic Inquiry 27: 1–10. CrossRef
Dotsey, M., and P.D. Sarte. 2000. Inflation uncertainty and growth in a cash-in-advance economy. Journal of Monetary Economics 45: 631–655. CrossRef
Engle, R., and K. Kroner. 1995. Multivariate simultaneous generalized ARCH. Econometric Theory 11: 122–150. CrossRef
Engle, R., and V. Ng. 1993. Measuring and testing the impact of news on volatility. Journal of Finance 48: 1749–1778. CrossRef
Fountas, S., and M. Karanasos. 2007. Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7. Journal of International Money and Finance 26: 229–250. CrossRef
Fountas, S., M. Karanasos, and J. Kim. 2002. Inflation and output growth uncertainty and their relationship with inflation and output growth. Economics Letters 75: 293–301. CrossRef
Fountas, S., M. Karanasos, and J. Kim. 2006. Inflation uncertainty, output growth uncertainty and macroeconomic performance. Oxford Bulletin of Economics and Statistics 68: 319–343. CrossRef
Friedman, M. 1977. Nobel lecture: Inflation and unemployment. Journal of Political Economy 85: 451–472. CrossRef
Grier, R., and K.B. Grier. 2006. On the real effects of inflation and inflation uncertainty in Mexico. Journal of Development Economics 80: 478–500. CrossRef
Grier, K.B., and M.J. Perry. 1999. The effects of uncertainty on macroeconomic performance: Bivariate GARCH evidence. Journal of Applied Econometrics 15: 45–98. CrossRef
Grier, K.B., and M.J. Perry. 2000. The effects of real and nominal uncertainty on inflation and output growth: Some GARCH-M evidence. Journal of Applied Econometrics 15: 45–58.
Grier, K.B., Ó.T. Henry, N. Olekalns, and K. Shields. 2004. The asymmetric effects of uncertainty on inflation and output growth. Journal of Applied Econometrics 19: 551–565. CrossRef
Hassan, S.A., and F. Malik. 2007. Multivariate GARCH modeling of sector volatility transmission. The Quarterly Review of Economics and Finance 47: 470–480. CrossRef
Jansen, D.W. 1989. Does inflation uncertainty affect output growth? Further Evidence. Federal Reserve Bank of St. Louis Economic Review, July/August, 43–54.
Jha, R., and Dang, Tu. 2011. Inflation variability and the relationship between inflation and growth. CAMA Working Papers 2011-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
Jiranyakul, K., and P.T. Opiela. 2011. The impact of inflation uncertainty on output growth and inflation in Thailand. Asian Economic Journal 25: 291–301. CrossRef
Karanasos, M., and J. Kim. 2005. The inflation–output variability relationship in the G3: A bivariate GARCH (BEKK) approach. Risk Letters 1: 17–22.
Kearney, C., and A.J. Patton. 2000. Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system. The Financial Review 41: 29–48. CrossRef
Logue, D., and R. Sweeney. 1981. Inflation and real growth: Some empirical results. Journal of Money, Credit and Banking 13: 497–501. CrossRef
Malik, F., and T.B. Ewing. 2009. Volatility transmission between oil prices and equity sector returns. International Review of Financial Analysis 18: 95–100. CrossRef
Neanidisa, K.C., and Savvab, C.S. 2010. Macroeconomic uncertainty, inflation and growth regime-dependent effects in the G7. Centre for Growth and Business Cycle Research, Economic Studies, No. 145, University of Manchester, Manchester.
Oehlert, G.W. 1992. A note on the delta method. American Statistician 46: 27–29.
Okun, A. 1971. The mirage of steady inflation. Brookings Papers on Economic Activity 2: 485–498. CrossRef
Papke, Jeffrey M., and J.M. Wooldridge. 2005. A computational trick for delta-method standard errors. Economics Letters 86: 413–417. CrossRef
Pindyck, R. 1991. Irreversibility, uncertainty, and investment. Journal of Economic Literature 29: 1110–1148.
Shields, K., N. Olekalns, Ó.T. Henry, and C. Brooks. 2005. Measuring the response of macroeconomic uncertainty to shocks. Review of Economics and Statistics 87 (2): 362–370. CrossRef
Taylor, J. 1979. Estimation and control of a macroeconomic model with rational expectations. Econometrica 47: 1267–1286. CrossRef
Ungar, M., and B.Z. Zilberfarb. 1993. Inflation and its unpredictability: Theory and empirical evidence. Journal of Money, Credit and Banking 25: 709.
Varvarigos, D. 2008. Inflation, variability, and the evolution of human capital in a model with transactions costs. Economics Letters 98: 320–326. CrossRef
Wilson, B.K. 2006. The link between inflation, inflation uncertainty and output: New time series evidence from Japan. Journal of Macroeconomics 28: 609–620. CrossRef
Wooldridge, J.M. 2002. Econometric Analysis of Cross Section and Panel Data. Cambridge: MIT Press.
- Spillover Effects of Real and Nominal Uncertainties in India
S. Raja Sethu Durai
- Springer India
Neuer Inhalt/© Stellmach, Neuer Inhalt/© Maturus, Pluta Logo/© Pluta, digitale Transformation/© Maksym Yemelyanov | Fotolia