Inflation and inflation uncertainty in the ASEAN-5 economies

Jiranyakul, Komain; Opiela, Timothy P.

doi:10.1016/j.asieco.2009.09.007

Cited by 41 publications

(29 citation statements)

References 21 publications

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“…Threshold inflation levels for developing countries are around 12%-19%, which are higher as compared to developed countries. Jiranyakul and Opiela (2010) argue that ASEAN countries have low inflation relative to other emerging markets. Indeed, in the ASEAN's region context, research in inflation-growth non-linear relationship has been rather few.…”

Section: Literature Reviewmentioning

confidence: 98%

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Threshold effects of inflation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach

Thanh

2015

Journal of Economics, Finance and Administrative Science

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a b s t r a c tThe relationship between inflation and economic growth is a contentious issue. The present study is undertaking to test hypothesis that the relationship between inflation and economic growth is nonlinear. This pane data study involves ASEAN-5 countries over the period 1980 model is employed to estimate the threshold of inflation and its effects on economic growth. Furthermore, we also check robustness by using GMM-IV specification. The study finds that there exists a statistically significant negative relationship between inflation and growth for the inflation rates above the threshold level of 7.84%, above which inflation starts impeding economic growth in the ASEAN-5 countries. The results suggest that central banks in the ASEAN-5 countries could improve economic growth by reducing inflation when it is above or near the estimated thresholds. The threshold inflation level can be considered, therefore, as inflation targeting indicator to conduct monetary policy. Los efectos umbral de la inflación en el crecimiento en los países del sudeste asiático: un enfoque del modelo de regresión fluidaCódigos JEL: C33 E31 040Palabras clave: Inflación Crecimiento Umbral de la inflación PSTR r e s u m e n La relación entre la inflación y el crecimiento económico es una cuestión polémica. El presente estudio trata de probar la hipótesis de no linealidad la relación entre la inflación y el crecimiento económico. Este estudio de regresión fluida incluye a los países ASEAN-5 durante el periodo 1980-2011. Se utiliza el modelo -Panel Smooth Transition Regression (PSTR)-para calcular el umbral de la inflación y sus efectos sobre el crecimiento económico. Además, revisamos también la solidez utilizando la especificación GMM-IV. El estudio encuentra que existe una relación negativa estadísticamente significativa entre la inflación y el crecimiento para las tasas de inflación superiores al umbral del 7.84%, por encima del cual la inflación impide el crecimiento económico en los países del sudeste asiático. Los resultados sugieren que los bancos centrales de estos países podrían mejorar el crecimiento económico mediante la reducción de la inflación, cuando esta es superior o cercana a los umbrales estimados. Por tanto, el nivel umbral de la inflación puede considerarse como un indicador objetivo de la misma para la realización de las políticas monetarias.

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Section: Literature Reviewmentioning

confidence: 98%

“…Macroeconomic policies have been, on balance, more consistent over time in ASEAN countries. Therefore, the ASEAN countries are generally considered to have had low inflation rates relative to other emerging markets (Jiranyakul & Opiela, 2010).…”

Section: Variablesmentioning

confidence: 99%

Threshold effects of inflation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach

Thanh

2015

Journal of Economics, Finance and Administrative Science

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“…Ozdemir (2010), using a fractionally integrated vector ARMA-BEKK MGARCH model on the UK data, finds mixed evidence in the case of the Friedman hypothesis and strong evidence in favour of Cukierman-Meltzer hypothesis for the 1957:02-2006:04 period, while the evidence found following the late 1980s indicates no linkages between inflation and its uncertainty. Jiranyakul and Opiela (2010) investigates the linkage between inflation and inflation uncertainty in the ASEAN-5 countries over the period 1970:01-2007:12 with inflation uncertainty estimated as a conditional variance in an AR-EGARCH model. Their Granger causality tests show that rising inflation increases inflation uncertainty and that rising inflation uncertainty increases inflation in all five countries thus supporting both the Friedman and Cukierman-Meltzer hypotheses.…”

Section: Literature Reviewmentioning

confidence: 99%

Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model

Nasr

Balcılar

Ajmi

et al. 2015

Emerging Markets Review

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This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of causality. We account for the nonlinear, long memory and seasonal features of inflation series simultaneously by measuring inflation uncertainty as the conditional variance of inflation generated by recursive estimation of a Seasonal Fractionally Integrated Smooth Transition Autoregressive Asymmetric Power GARCH (SEA-FISTAR-APGARCH) model using monthly data for the period 1921:01 to 2012:12. The recursive, rather than a full-sample, estimation allows us to obtain a time-varying measure of uncertainty and better mimics the real-time scenario faced by economic agents and/or policy makers. The inferred probabilities from the four-state MS-VAR model show evidence of a time-varying relationship. The conditional (i.e. lead-lag) and regime-prediction Granger causality provide evidence in favour of Friedman's hypothesis. This implies that past information on inflation can help improve the one-step-ahead prediction of inflation uncertainty but not vice versa. Our results have some important policy implications.

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“…Jiranyakul and Opiela (2010) argue that the effect of uncertainty on macro variables often varies between the developed and developing countries. The hypothesis of Mirman (1971), which postulates higher growth during higher income uncertainty, has subsequently been evidenced by numerous studies.…”

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confidence: 99%

Inflation–growth nexus: some bivariate EGARCH evidence for Bangladesh

Paul

2013

Macroeconomics and Finance in Emerging Market Economies

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This study examines the inflation-growth nexus for Bangladesh over the period 1976-2009 in a bivariate exponential generalized autoregressive conditional heteroscedasticity in mean (EGARCH-M) model. This work finds that both growth and inflation adversely affect each other in a lagged fashion in Bangladesh. Inflation uncertainty appears to be conducive to growth for the country, contradicting the Friedman hypothesis. Growth uncertainty, which is also thought to be inimical to growth, affects the average growth rate positively. Thus, the Central Bank should shift its target from controlling inflation uncertainty to reducing a rise in inflation to ensure faster growth in Bangladesh.

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Inflation and inflation uncertainty in the ASEAN-5 economies

Cited by 41 publications

References 21 publications

Threshold effects of inflation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach

Threshold effects of inflation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach

Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model

Inflation–growth nexus: some bivariate EGARCH evidence for Bangladesh

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