Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework: Implications for monetary policy

Shah, Said Zamin; Baharumshah, Ahmad Zubaidi; Law, Siong Hook; Habibullah, Muzafar Shah

doi:10.1016/j.ribaf.2017.05.012

Cited by 3 publications

(6 citation statements)

References 67 publications

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“…Using asymmetric bivariate GARCH‐in‐mean model, Shah et al. (2017) have confirmed that inflation uncertainty has negative impact on the level of inflation for India.…”

Section: Review Of Empirical Studiesmentioning

confidence: 95%

“…(2005), and Shah et al. (2017)). Similarly, the effects of real (output growth) uncertainty on inflation and output growth are also found to be mixed.…”

Section: Introductionmentioning

confidence: 93%

“…(2009), Chowdhury (2014), Narayan and Narayan (2013), Rit (2014), Thornton (2006), and Shah et al. (2017)). In our study, unlike the existing ones, we have extended the empirical literature by incorporating regime switching features of both inflation and output growth to study the relationships between these two variables and their respective uncertainties.…”

Section: Empirical Analysismentioning

confidence: 99%

“…There are few empirical studies on these relationships in India. Notable among these are Bredin, Elder, and Fountas (2009), Chowdhury (2014), Daal, Naka, and Sanchez (2005), Narayan and Narayan (2013), Rit (2014), Rizvi, Naqvi, Bordes, and Mirza (2014), Thornton (2006), and Shah, Baharumshah, Hook, and Habibullah (2017). However, due to diverse results obtained, most of the studies could not able to arrive at converging conclusion, specify and indicate the exact nature of the above mentioned relationships.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model

Chowdhury

Sarkar

Kundu

2020

Bulletin of Econ Res

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This study examines the relationships between inflation, output growth and their uncertainties for India over the period from 1971 to 2015. The paper extends the existing empirical literature by employing a regime switching model to understand the dynamics of the above linkages in different inflation and output growth regimes of India. Our estimated results indicate that inflation is a positive determinant of output growth in the low‐growth regime. Furthermore, output growth significantly boosts inflation during low‐inflation regime. Thus in a situation, when both inflation and output growth are low, moderate inflation is helpful to growth as well as rise in growth feeds back into inflation. On the other hand, during high‐inflation regime, nominal uncertainty significantly reduces inflation, thus providing evidence in support of the price “stabilization” motive of the monetary authority.

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“…Using asymmetric bivariate GARCH‐in‐mean model, Shah et al. (2017) have confirmed that inflation uncertainty has negative impact on the level of inflation for India.…”

Section: Review Of Empirical Studiesmentioning

confidence: 95%

“…(2005), and Shah et al. (2017)). Similarly, the effects of real (output growth) uncertainty on inflation and output growth are also found to be mixed.…”

Section: Introductionmentioning

confidence: 93%

Section: Empirical Analysismentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model

Chowdhury

Sarkar

Kundu

2020

Bulletin of Econ Res

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“…A few studies have analysed the effects of macroeconomic uncertainty on economic growth (Baharumshah & Soon, 2014), but none of them have accounted for the direct effects of foreign shocks on the domestic economy. Numerous studies discuss the effect of EPU on the overall economic prosperity from the perspective of structural vector autoregressive (VAR); see among others Choi and Shim (2019), Jurado et al 2015, Leduc and Liu (2016), Mumtaz and Surico (2018) and Shah, Baharumshah, Law and Habibullah (2017). However, the above-mentioned studies adopted a different version of VAR specification -as workhorse model -to estimate the effect of uncertainty shocks of a variable on the other aggregate variables.…”

Section: Relevant Literaturementioning

confidence: 99%

The International Transmission of Volatility Shocks on an Emerging Economy: The Case of Malaysia

Shah

Baharumshah

Said

et al. 2019

MJES

Self Cite

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This study examines the effects of global economic policy uncertainty (EPU) on Malaysia's macroeconomic indicators. Three substantive findings emerged from our inquiry based on a multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model: (1) Domestic uncertainty-in nominal and real terms-seems to have no material impact on the macro-economy after controlling for global uncertainty. (2) Fluctuations in the global EPU are more important than domestic uncertainty in predicting a country's macroeconomic variables, particularly output and CPI-based inflation. The macroeconomic variables carry signs as per theoretical expectation. (3) The model predicts that external shocks exhibit a much larger impact on macroeconomic variables than those shocks originating from domestic markets. The results have deepened our insight on how the real variables correlate with external uncertainties and the fitful recovery in the recent past.

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Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

Bilgili

Ünlü

Gençoğlu

et al. 2021

AEA

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Purpose This paper aims to investigate the pass-through (PT) effect in Turkey by using quarterly data for the period 1998: Q1-2019: Q2 to understand the dynamic potential effects of exchange rates on domestic prices. Design/methodology/approach The paper launches several nonlinear models in which the basic determinants of domestic prices in Turkey are determined through Markov regime-switching models (MSMs). Hence, this research follows the variables of the consumer price index (CPI), USD exchange rate, gross domestic product (GDP; demand side of the economy), industrial production index (production side of the economy), economic uncertainty and geopolitical risk index for Turkey. Findings This work explores that the exchange rate and demand side of the economy (GDP) follow a positive nonlinear relationship with CPI at both regimes. The production side of the economy (IP) affects negatively the CPI during regime 0. Economic uncertainty influences the CPI positively at Regime 1, while geopolitical risk has a negative association with CPI at Regime 0. Eventually, the paper provides some policy proposals associated with the impacts of GDP, IP, economic uncertainty and geopolitical risk on CPI in Turkey. Originality/value One may claim that any PT model, which does not observe the possible structural or regime shifts in estimated parameters, might fail to estimate the coefficients unbiasedly and efficiently. Hence, this work differs from available relevant works in the literature since this paper considers linearity or nonlinearity important and reveals that the relevant PT model follows a nonlinear path rather than a linear path, this nonlinear path is converged strongly by MSMs and estimates the significant regime shifts in the constant term and, in parameters of independent variables of PT by MSMs.

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Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework: Implications for monetary policy

Cited by 3 publications

References 67 publications

Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model

Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model

The International Transmission of Volatility Shocks on an Emerging Economy: The Case of Malaysia

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

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