Is macroeconomic uncertainty bad for macroeconomic performance? Evidence from five Asian countries

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Title: Is macroeconomic uncertainty bad for macroeconomic performance? Evidence from five Asian countries
Authors: Bredin, Donal
Fountas, Stilianos
Permanent link: http://hdl.handle.net/10197/1178
Date: Mar-2007
Abstract: We use a very general bivariate GARCH-M model and quarterly data for five Asian countries 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 the majority of countries uncertainty regarding the output growth rate is related negatively to the average growth rate. Second, contrary to expectations, inflation uncertainty in most cases does not harm the output growth performance of an economy. Third, inflation and output uncertainty have a mixed effect on inflation. These results imply that macroeconomic uncertainty may even improve macroeconomic performance, i.e., raise output growth and reduce inflation.
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Copyright (published version): 2007, Centre for Financial Markets
Keywords: Inflation;Output growth;Macroeconomic uncertainty;GARCH models
Subject LCSH: Time-series analysis
Inflation--Econometric models
Economic development--Econometric models
Macroeconomics
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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