Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1002287 | Research in International Business and Finance | 2013 | 16 Pages |
In this paper we study the relationship between output and inflation for India, South Africa and Brazil, using the EGARCH model. For India and South Africa, we find evidence of: (1) the Cukierman and Meltzer hypothesis that inflation volatility raises inflation; (2) the Friedman hypothesis that inflation raises inflation volatility; and (3) the Black hypothesis that output volatility raises output growth, and that output volatility reduces inflation. For Brazil, we do not find any evidence of a systematic relationship between inflation and output growth.
► We study the relationship between output and inflation using EGARCH model. ► For India and South Africa, we find that inflation volatility raises inflation. ► For India and South Africa we find that inflation raises inflation volatility. ► For India and South Africa output volatility raises output growth. ► Output volatility reduces inflation for India and South Africa. ► For Brazil, no significant relationship between inflation and output is found.