کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964674 | 1479179 | 2013 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Inflation, output and uncertainty in the era of inflation targeting - A multi-economy view on causal linkages
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Inflation, output and uncertainty in the era of inflation targeting - A multi-economy view on causal linkages Inflation, output and uncertainty in the era of inflation targeting - A multi-economy view on causal linkages](/preview/png/964674.png)
چکیده انگلیسی
This study provides cross country robust evidence on interdependencies among inflation, output growth and respective uncertainties for the current era of low inflation policies. We attribute the extant empirical disagreement on these relations to the fact that long sampling periods and single economies are typically considered for analysis. In this study, VARX-MGARCH-M models are estimated for 34 developed and emerging economies and the time period of 1990-2010. We study average (Granger) causal effects by aggregating parameter estimates over economies. The cross sectional variation of estimates serves as a means to assess the robustness of empirical findings. Over the entire cross section, we find that both inflation and inflation uncertainty significantly reduce output growth. Economies with low inflation rates are particularly at risk to incur output losses from increasing inflation. We also find spillover effects among uncertainty variables, where the causal impact, if present, seems to point from the uncertainty in output to inflation uncertainty.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 37, October 2013, Pages 98-112
Journal: Journal of International Money and Finance - Volume 37, October 2013, Pages 98-112
نویسندگان
Matthias Hartmann, Jan Roestel,