Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK

Ramprasad Bhar, Girijasankar Mallik

    Research output: Contribution to journalArticlepeer-review

    24 Citations (Scopus)

    Abstract

    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.
    Original languageEnglish
    Pages (from-to)1333-1350
    Number of pages18
    JournalEmpirical Economics
    Volume45
    DOIs
    Publication statusPublished - 2013

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