Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/9933
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dc.contributor.authorNeanidis, Kyriakos C.-
dc.contributor.authorSavva, Christos S.-
dc.contributor.otherΣάββα, Χρίστος Σ.-
dc.date.accessioned2017-02-24T09:15:45Z-
dc.date.available2017-02-24T09:15:45Z-
dc.date.issued2013-03-01-
dc.identifier.citationJournal of Macroeconomics, 2013, Volume 35, Issue 1, Pages 81-92en_US
dc.identifier.issn01640704-
dc.identifier.urihttp://ktisis.cut.ac.cy/handle/10488/9933-
dc.description.abstractWe analyze the causal effects of real and nominal macroeconomic uncertainty on inflation and output growth by considering whether these effects are cycle phase specific. Employing a bivariate Smooth Transition EGARCH-M model for the G7 countries during 1957-2009, we find strong nonlinearities. First, uncertainty regarding the output growth rate is related with a higher average growth rate mostly in a low-growth regime, supporting the theory of "creative destruction" Second, higher inflation uncertainty diminishes growth rates, mainly at a high-inflation regime. Finally, real uncertainty has mixed effects on average inflation, while the effect of nominal uncertainty is typically positive, especially so during inflationary periods. Our findings suggest that these relationships are sufficiently complex to require treatment with nonlinear models.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.rights© 2012 Elsevier Inc.en_US
dc.subjectEGARCH modelen_US
dc.subjectUncertaintyen_US
dc.subjectNonlinearityen_US
dc.subjectInflationen_US
dc.subjectOutput growthen_US
dc.subjectRegimesen_US
dc.titleMacroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7en_US
dc.typeArticleen_US
dc.doihttp://dx.doi.org/10.1016/j.jmacro.2012.10.005en_US
dc.collaborationUniversity of Manchesteren_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscription Journalen_US
dc.countryUnited Kingdomen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.languageiso639-1other-
crisitem.author.deptDepartment of Commerce, Finance and Shipping-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0003-3354-6483-
crisitem.author.parentorgFaculty of Management and Economics-
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