INFLATION, INFLATION UNCERTAINTY AND OUTPUT GROWTH: RECENT EVIDENCE FROM ASEAN-5 COUNTRIES

Siti Hamizah Mohd, Ahmad Zubaidi Baharumshah () and Stilianos Fountas
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Siti Hamizah Mohd: School of Economics, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia

The Singapore Economic Review (SER), 2013, vol. 58, issue 04, 1-17

Abstract: This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1–2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation uncertainty increases more in response to positive inflation surprises than to negative surprises in all countries; (ii) inflationary shocks affect positively inflation uncertainty as predicted by the Friedman–Ball hypothesis; (iii) there is no evidence to suggest that inflation uncertainty causes inflation and; (iv) there is evidence that inflation affects growth negatively, both directly and indirectly (via the inflation uncertainty channel). The indirect effect is clearly stronger as it applies in all countries in the sample.

Keywords: Inflation; inflation uncertainty; output growth; ASEAN; C22; E31; E52 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (11)

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http://www.worldscientific.com/doi/abs/10.1142/S0217590813500306
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Working Paper: Inflation, Inflation Uncertainty and Output Growth: Recent Evidence from ASEAN-5 Countries (2012)
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DOI: 10.1142/S0217590813500306

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