کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
965653 930827 2006 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The links between inflation, inflation uncertainty and output growth: New time series evidence from Japan
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The links between inflation, inflation uncertainty and output growth: New time series evidence from Japan
چکیده انگلیسی
Employing a bivariate EGARCH-M model, we investigate the links between inflation, inflation uncertainty and output growth for post-war Japanese data. Our results indicate that increased inflation uncertainty is associated with higher average inflation and lower average growth in Japan. Further, we find that increased growth uncertainty is associated with higher average inflation, but unrelated to average growth. Lastly, both inflation and growth display significant asymmetry in their respective conditional variances. Specifically, negative surprises raise both inflation uncertainty and growth uncertainty more than positive surprises.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 28, Issue 3, September 2006, Pages 609-620
نویسندگان
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