Inflation, inflation uncertainty and growth: are they related ?

Stilianos Fountas

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: We examine the relationship between inflation uncertainty, inflation and growth using annual historical data on industrial countries covering in many cases more than one century. Proxying inflation uncertainty by the conditional variance of inflation shocks, we obtain the following results. (1) There is significant evidence for the positive effect of inflation uncertainty on inflation supporting the Cukierman-Meltzer hypothesis. (2) There is mixed evidence on the causal effect of inflation on inflation uncertainty. (3) There is strong evidence that inflation uncertainty is not detrimental to output growth.

Keywords: Inflation uncertainty; growth; GARCH models (search for similar items in EconPapers)
JEL-codes: E31 O40 (search for similar items in EconPapers)
Date: 2010-12, Revised 2010-12
New Economics Papers: this item is included in nep-cba, nep-fdg, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

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Journal Article: Inflation, inflation uncertainty and growth: Are they related? (2010)
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