Macroeconomic uncertainty and macroeconomic performance: are they related?

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Title: Macroeconomic uncertainty and macroeconomic performance: are they related?
Authors: Bredin, Donal
Fountas, Stilianos
Permanent link: http://hdl.handle.net/10197/1125
Date: Feb-2004
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
Copyright (published version): Centre for Financial Markets, 2004
Keywords: Inflation;GARCH models;Asymmetry;Output Uncertainty
Subject LCSH: Inflation (Finance)--Econometric models
Macroeconomics
Economic development--Econometric models
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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