Inflation, inflation uncertainty and output growth in the USA

Ramprasad Bhar and Girijasankar Mallik

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 23, 5503-5510

Abstract: Employing a multivariate EGARCH-M model, this study investigates the effects of inflation uncertainty and growth uncertainty on inflation and output growth in the United States. Our results show that inflation uncertainty has a positive and significant effect on the level of inflation and a negative and significant effect on the output growth. However, output uncertainty has no significant effect on output growth or inflation. The oil price also has a positive and significant effect on inflation. These findings are robust and have been corroborated by use of an impulse response function. These results have important implications for inflation-targeting monetary policy, and the aim of stabilization policy in general.

Keywords: Inflation; Growth; Inflation uncertainty; Oil price; EGARCH; Impulse response (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:23:p:5503-5510

DOI: 10.1016/j.physa.2010.06.063

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