TY - JOUR
T1 - Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK
AU - Bhar, Ramprasad
AU - Mallik, Girijasankar
PY - 2013
Y1 - 2013
N2 - This study examines the transmission and response of inflation uncertainty and output uncertainty on inflation and output growth in the UK using a bi-variate EGARCH model. Results suggest that inflation uncertainty has positive and significant effects on inflation before the inflation-targeting period, but that the effect is significantly negative after the inflation-targeting period. On the other hand, output uncertainty has a negative and significant effect on inflation and a positive effect on growth, while oil price rises significantly increase inflation for the UK. Results also indicate that inflation uncertainty significantly reduces output growth before and after the inflation-targeting period. These findings are robust and the Generalized impulse response functions corroborate the conclusions. These results have important implications for an inflation-targeting monetary policy, and for stabilization policy in general.
AB - This study examines the transmission and response of inflation uncertainty and output uncertainty on inflation and output growth in the UK using a bi-variate EGARCH model. Results suggest that inflation uncertainty has positive and significant effects on inflation before the inflation-targeting period, but that the effect is significantly negative after the inflation-targeting period. On the other hand, output uncertainty has a negative and significant effect on inflation and a positive effect on growth, while oil price rises significantly increase inflation for the UK. Results also indicate that inflation uncertainty significantly reduces output growth before and after the inflation-targeting period. These findings are robust and the Generalized impulse response functions corroborate the conclusions. These results have important implications for an inflation-targeting monetary policy, and for stabilization policy in general.
UR - http://handle.uws.edu.au:8081/1959.7/536237
U2 - 10.1007/s00181-012-0650-9
DO - 10.1007/s00181-012-0650-9
M3 - Article
SN - 0377-7332
VL - 45
SP - 1333
EP - 1350
JO - Empirical Economics
JF - Empirical Economics
ER -