Hasanov, Mübariz and Omay, Tolga (2010): The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries. Forthcoming in: Emerging Markets and Finance and Trade , Vol. -, No. - (2011)
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In this paper, we examine causal relationships among inflation rate, output growth rate, inflation uncertainty and output uncertainty for ten Central and Eastern European transition countries. For this purpose, we estimate a bivariate GARCH model that includes output growth and inflation rates for each country. Then we use conditional standard deviations of inflation and output to proxy nominal and real uncertainty, respectively, and perform Granger-causality tests. Our results suggest that inflation rate induces uncertainty about both inflation rate and output growth rate, which is detrimental for real economic activity. On the other hand, we find that output growth rate reduces macroeconomic uncertainty in some countries. In addition, we also examine and discuss causal relationships among remaining variables.
|Item Type:||MPRA Paper|
|Original Title:||The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries|
|English Title:||The Relationship between Inflation, Output Growth, and Their Uncertainties: Evidence from Selected CEE Countries|
|Keywords:||Inflation, output growth, uncertainty, Granger-Causality tests, transition countries|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E30 - General
E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E10 - General
|Depositing User:||Tolga Omay|
|Date Deposited:||29. Nov 2010 14:06|
|Last Modified:||13. Feb 2013 10:26|
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