Is macroeconomic uncertainty bad for macroeconomic performance? Evidence from five Asian countries

Donal Bredin and Stilianos Fountas

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

Abstract: We use a very general bivariate GARCH-M model and quarterly data for five Asian countries 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 the majority of countries uncertainty regarding the output growth rate is related negatively to the average growth rate. Second, contrary to expectations, inflation uncertainty in most cases does not harm the output growth performance of an economy. Third, inflation and output uncertainty have a mixed effect on inflation. These results imply that macroeconomic uncertainty may even improve macroeconomic performance, i.e., raise output growth and reduce inflation.

Keywords: Inflation; Output growth; Macroeconomic uncertainty; GARCH models; Time-series analysis; Inflation--Econometric models; Economic development--Econometric models; Macroeconomics (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 E0 (search for similar items in EconPapers)
Date: 2007-03
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10197/1178 First version, 2007 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1178

Access Statistics for this paper

More papers in Centre for Financial Markets Working Papers from Research Repository, University College Dublin Contact information at EDIRC.
Bibliographic data for series maintained by Joseph Greene ().