The effects of inflation uncertainty: some international evidence

Sajjadur Rahman · Apostolos Serletis

16 citations0/0 files storedJournal of Economic Studies

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

Purpose The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries. Design/methodology/approach The paper uses the econometric framework developed by Elder in the context of a multivariate framework in which a structural vector autoregression (VAR) is modified to accommodate multivariate GARCH‐in‐mean (MGARCH‐M) errors. It calculates the impulse response functions for the multivariate GARCH(1,1)‐in‐mean VAR in order to see whether the specification captures the fundamental dynamics. Findings The results show that inflation uncertainty has differential effects on output growth across these countries. Originality/value In the context of multivariate GARCH(1,1)‐in‐mean VAR, this paper uses a non‐recursive identification scheme and separate identification for the large and small economies.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 16 citations exist upstream.

References

1995Multivariate Simultaneous Generalized ARCH 1998Modeling Asymmetric Comovements of Asset Returns 2000Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach 2001International transmission of U.S. monetary policy shocks: Evidence from VAR's 2007Exchange rate volatility and trade flows: a review article 2004Another Perspective on the Effects of Inflation Uncertainty 2006Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance 2003An impulse-response function for a vector autoregression with multivariate GARCH-in-mean

Cited by

2010The impact of the Athens Olympic Games on the Athens Stock Exchange 2014Conceptual Exposition of the Effect of Inflation on Bank Performance

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.