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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: Department of Economics, Universiti Putra Malaysia

Discussion Paper Series from Department of Economics, University of Macedonia

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 (search for similar items in EconPapers)
JEL-codes: C22 E31 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fdg, nep-mon and nep-sea
Date: 2012-07, Revised 2012-07
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Journal Article: INFLATION, INFLATION UNCERTAINTY AND OUTPUT GROWTH: RECENT EVIDENCE FROM ASEAN-5 COUNTRIES (2013) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2012_07

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