Inflation and output growth uncertainty and their relationship with inflation and output growth

Stilianos Fountas; Menelaos Karanasos; Jinki Kim

doi:10.1016/S0165-1765(02)00009-5

Inflation and output growth uncertainty and their relationship with inflation and output growth

Stilianos Fountas
, Menelaos Karanasos
, Jinki Kim

Economics

University of York

Research output: Contribution to a Journal (Peer & Non Peer) › Article › peer-review

68 Citations (Scopus)

Abstract

Using a bivariate GARCH model of inflation and output growth we find evidence that higher inflation and more inflation uncertainty lead to lower output growth in the Japanese economy. These results support the argument of a price stability objective for the monetary authority.

Original language	English
Pages (from-to)	293-301
Number of pages	9
Journal	Economics Letters
Volume	75
Issue number	3
DOIs	https://doi.org/10.1016/S0165-1765(02)00009-5
Publication status	Published - May 2002

Keywords

Bivariate GARCH
Granger-causality
Inflation
Output growth
Uncertainty

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10.1016/S0165-1765(02)00009-5

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title = "Inflation and output growth uncertainty and their relationship with inflation and output growth",

abstract = "Using a bivariate GARCH model of inflation and output growth we find evidence that higher inflation and more inflation uncertainty lead to lower output growth in the Japanese economy. These results support the argument of a price stability objective for the monetary authority.",

keywords = "Bivariate GARCH, Granger-causality, Inflation, Output growth, Uncertainty",

author = "Stilianos Fountas and Menelaos Karanasos and Jinki Kim",

year = "2002",

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AU - Fountas, Stilianos

AU - Karanasos, Menelaos

AU - Kim, Jinki

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N2 - Using a bivariate GARCH model of inflation and output growth we find evidence that higher inflation and more inflation uncertainty lead to lower output growth in the Japanese economy. These results support the argument of a price stability objective for the monetary authority.

AB - Using a bivariate GARCH model of inflation and output growth we find evidence that higher inflation and more inflation uncertainty lead to lower output growth in the Japanese economy. These results support the argument of a price stability objective for the monetary authority.

KW - Bivariate GARCH

KW - Granger-causality

KW - Inflation

KW - Output growth

KW - Uncertainty

UR - https://www.scopus.com/pages/publications/0036012239

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DO - 10.1016/S0165-1765(02)00009-5

M3 - Article

AN - SCOPUS:0036012239

SN - 0165-1765

VL - 75

SP - 293

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JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Inflation and output growth uncertainty and their relationship with inflation and output growth

Abstract

Keywords

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