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Macroeconomic uncertainty and macroeconomic performance: are they related?
Author(s)
Date Issued
2004-02
Date Available
2009-05-14T15:33:53Z
Abstract
We use a very general multivariate GARCH-M 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,uncertainty about the inflation rate is not necessarily detrimental to economic growth. Finally, there is mixed evidence on the effect of output uncertainty on inflation.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-04-07
Copyright (Published Version)
Centre for Financial Markets, 2004
Classification
C22
C51
C52
E0
Subject – LCSH
Inflation (Finance)--Econometric models
Macroeconomics
Economic development--Econometric models
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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