TY - JOUR
T1 - Inflation, inflation uncertainty and output growth in the USA
AU - Bhar, Ramprasad
AU - Mallik, Girijasankar
PY - 2010
Y1 - 2010
N2 - Employing a multivariate EGARCH-M model, this study investigates the effects of inflation uncertainty and growth uncertainty on inflation and output growth in the United States. Our results show that inflation uncertainty has a positive and significant effect on the level of inflation and a negative and significant effect on the output growth. However, output uncertainty has no significant effect on output growth or inflation. The oil price also has a positive and significant effect on inflation. These findings are robust and have been corroborated by use of an impulse response function. These results have important implications for inflation-targeting monetary policy, and the aim of stabilization policy in general.
AB - Employing a multivariate EGARCH-M model, this study investigates the effects of inflation uncertainty and growth uncertainty on inflation and output growth in the United States. Our results show that inflation uncertainty has a positive and significant effect on the level of inflation and a negative and significant effect on the output growth. However, output uncertainty has no significant effect on output growth or inflation. The oil price also has a positive and significant effect on inflation. These findings are robust and have been corroborated by use of an impulse response function. These results have important implications for inflation-targeting monetary policy, and the aim of stabilization policy in general.
KW - inflation (finance)
KW - uncertainty
UR - http://handle.uws.edu.au:8081/1959.7/552046
UR - http://www.sciencedirect.com/science/article/pii/S037843711000720X
U2 - 10.1016/j.physa.2010.06.063
DO - 10.1016/j.physa.2010.06.063
M3 - Article
SN - 0378-4371
VL - 389
SP - 5503
EP - 5510
JO - Physica A : Statistical Mechanics and Its Applications
JF - Physica A : Statistical Mechanics and Its Applications
IS - 23
ER -
