The Asymmetric Effects of Uncertainty on Inflation and Output Growth

K Shields, Kevin Grier (), Ólan Thomas Henry () and Nilss Olekalns ()

No 187, Royal Economic Society Annual Conference 2003 from Royal Economic Society

Abstract: We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war U.S. data. Our results suggest that growth uncertainty is associated with higher average growth and lower average inflation. Inflation uncertainty is significantly negatively correlated with both output growth and average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude.

Keywords: growth; inflation; uncertainty; asymmetry; generalised impluse response functions (search for similar items in EconPapers)
JEL-codes: E39 (search for similar items in EconPapers)
Date: 2003-06-04
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Related works:
Journal Article: The asymmetric effects of uncertainty on inflation and output growth (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:ecj:ac2003:187

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