Macroeconomic uncertainty and macroeconomic performance: are they related?

Donal Bredin and Stilianos Fountas

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

Abstract: We use a very general multivariate GARCH-M model and G7 monthly data covering the 1957-2003 period to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth.Our evidence supports a number of important conclusions. First, in most countries output growth uncertainty is a positive determinant of the output growth rate. Second, there is mixed evidence regarding the effect of inflation uncertainty on inflation and output growth. Hence,uncertainty about the inflation rate is not necessarily detrimental to economic growth. Finally, there is mixed evidence on the effect of output uncertainty on inflation.

Keywords: Inflation; GARCH models; Asymmetry; Output Uncertainty; Inflation (Finance)--Econometric models; Macroeconomics; Economic development--Econometric models (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 E0 (search for similar items in EconPapers)
Date: 2004-02
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Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1125

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