Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/9933
Title: Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7
Authors: Neanidis, Kyriakos C. 
Savva, Christos S. 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: EGARCH model;Uncertainty;Nonlinearity;Inflation;Output growth;Regimes
Issue Date: Mar-2013
Source: Journal of Macroeconomics, 2013, vol. 35, no. 1, pp. 81-92
Volume: 35
Issue: 1
Start page: 81
End page: 92
Journal: Journal of Macroeconomics 
Abstract: We 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.
URI: https://hdl.handle.net/20.500.14279/9933
ISSN: 01640704
DOI: 10.1016/j.jmacro.2012.10.005
Rights: © Elsevier
Type: Article
Affiliation : The University of Manchester 
Cyprus University of Technology 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

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