The effects of inflation uncertainty: some international evidence

Sajjadur Rahman and Apostolos Serletis

Journal of Economic Studies, 2009, vol. 36, issue 5, 541-550

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.

Keywords: Inflation; Uncertainty management; Industrial countries; Economic performance (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:v:36:y:2009:i:5:p:541-550

DOI: 10.1108/01443580910992438

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