The inflation–output nexus: Empirical evidence from India, South Africa, and Brazil

Seema Narayan () and Paresh Narayan ()

Research in International Business and Finance, 2013, vol. 28, issue C, 19-34

Abstract: 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.

Keywords: Output; Inflation; EGARCH model; Volatility (search for similar items in EconPapers)
JEL-codes: C22 E31 E32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:28:y:2013:i:c:p:19-34

DOI: 10.1016/j.ribaf.2012.09.003

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