Volatilidad de la inflación y crecimiento del producto: el caso de México

Rodolfo Cermeño and Nahieli Vasquez Feregrino

No DTE 537, Working Papers from CIDE, División de Economía

Abstract: This paper investigates empirically the relationship between inflation, inflation volatility and output growth in the case of México using monthly data over the period 1993-2011. Specifically a bivariate GARCH-M model is estimated to test the hypotheses that inflation rates are directly related to inflation volatility, and that inflation volatility affects negatively output growth. It is found that higher inflation rates are associated to higher inflation volatility which in turn affects negatively output growth. These results suggest that policies aimed to reduce inflation could have beneficial effects on growth through the specific channel of reducing inflation volatility.

Keywords: Volatility; growth; inflation; inflation uncertainty; multivariate GARCH models (search for similar items in EconPapers)
JEL-codes: C32 E5 F43 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2012-10
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