The asymmetric effects of uncertainty on inflation and output growth

Grier, Kevin; Henry, Ólan T.; Olekalns, Nilss; Shields, Kalvinder

doi:10.1002/jae.763

Cited by 212 publications

(236 citation statements)

References 35 publications

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“…The evidence is rather mixed. Grier and Perry (2000) (and Grier et al, 2004) and Coulson and Robins (1985) find evidence for a negative and positive effect, respectively, and Jansen (1989) fails to find evidence for a significant impact. Fountas et al (2004a) and Conrad and Karanasos (2005b) test this hypothesis using data for European countries and find mixed evidence.…”

Section: The Empirical Evidencementioning

confidence: 99%

“…The causal impact of inflation uncertainty on inflation is tested empirically using the GARCH approach in Baillie et al (1996), Perry (1998, 2000), Grier et al (2004), Fountas et al (2004a), Karanasos et al (2004) and Conrad and Karanasos (2005b). Grier and Perry (2000), Grier et al (2004) and Karanasos et al (2004) use only US data, whereas the rest of the studies use international data.…”

Section: The Empirical Evidencementioning

confidence: 99%

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Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7

Fountas

Karanasos

2007

Journal of International Money and Finance

161

127

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We use univariate GARCH models of inflation and output growth and monthly data for the G7 covering the 1957e2000 period to test for the causal effect of real and nominal macroeconomic uncertainty on inflation and output growth, and the effect of inflation on inflation uncertainty. Our evidence supports a number of important conclusions. First, inflation is a positive determinant of uncertainty about inflation. Second, output growth uncertainty is a positive determinant of the output growth rate. Third, there is mixed evidence regarding the effect of inflation uncertainty on inflation and output growth. Hence, uncertainty about the inflation rate is not necessarily detrimental to economic growth. Finally, there is not much evidence supporting the hypothesis that output uncertainty raises inflation.

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Section: The Empirical Evidencementioning

confidence: 99%

Section: The Empirical Evidencementioning

confidence: 99%

Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7

Fountas

Karanasos

2007

Journal of International Money and Finance

161

127

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“…The results presented in our paper can be related to those obtained from three previous recent studies that have made use of the GARCH approach. First, a comparison can be made with the studies by Grier et al (2004) and Shields et al (2005) which find evidence supporting eight out of the twelve links. However, these authors do not consider level effects in their analysis, impose a positive volatility feedback and they only test for contemporaneous in-mean effects.…”

Section: Comparison With Other Workmentioning

confidence: 99%

“…In Bredin and Fountas (2005) the two uncertainties have no impact on inflation. From the five studies that employ bivariate GARCH-in-mean models only two, Grier et al (2004) and Shields et al (2005) find that real uncertainty affects inflation negatively. Nevertheless, the results of these five studies must be considered with caution.…”

Section: Comparison With Other Workmentioning

confidence: 99%

“…During the last decade researchers have employed various bivariate GARCH-inmean models to investigate the relation between the two uncertainties (see, for example, Conrad et al, 2010b) and/or to examine their impact on the levels of inflation and growth (see, for example, Elder, 2004 andGrier et al, 2004). However, the econometric specifications which are employed in most of these studies are typically characterized by one or more of the following three limitations.…”

Section: Introductionmentioning

confidence: 99%

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Modeling the Link between US Inflation and Output: The Importance of the Uncertainty Channel

Conrad

Karanasos

2010

SSRN Journal

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This paper employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework we examine the twelve potential intertemporal relationships between inflation, growth and their respective uncertainties using US data. We find that high inflation is detrimental to output growth both directly and indirectly via the nominal uncertainty. Output growth boosts inflation but mainly indirectly through a reduction in real uncertainty. Our findings highlight that macroeconomic performance affects nominal and real uncertainty in many ways and that the bidirectional relation between inflation and growth works to a large extend indirectly via the uncertainty channel.Keywords: Bivariate GARCH process, volatility feedback, inflation uncertainty, output variability.JEL Classification: C32, C51, E31. * We would like to thank James Davidson, Marika Karanassou and Ruey Tsay for their valuable suggestions. We have also benefited from the comments received from the participants of the Annual Meeting of the Verein für Socialpolitik (Kiel, 2010), the Annual Meeting of the Society for Nonlinear Dynamics and Econometrics (Novara, 2010)

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Unraveling Turkish agricultural market challenges: Consequences of COVID‐19, Russia–Ukraine conflict, and energy market dynamics

Urak

2023

Agribusiness

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For a significant global segment, the volatility in grain prices presents a substantial menace to food accessibility and security. In the global pandemic and the Russia–Ukraine conflict (RUW), numerous nations were caught off guard, exacerbating this predicament and leading to instances where citizens faced purchasing restrictions on sunflower oil. This study employs the VAR (1)‐Asymmetric BEKK‐Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) model to assess the extent of risks stemming from the pandemic and RUW in critical Turkish agricultural commodity markets: namely, wheat, barley, corn, and sunflower oil. The analysis reveals that the conditional variances of their return series are positively influenced by short‐ and long‐term uncertainties. With the escalations in the global oil market, the enduring hazards within these selected markets in Türkiye have intensified concurrently. The COVID‐19 pandemic has induced a decrease in long‐term uncertainty within wheat and barley markets, wherein noteworthy spillover risks in the barley, corn, and sunflower oil markets have exacerbated risks in the corn market. Empirical findings imply that COVID‐19 and RUW disrupt the agricultural supply chain, leading to impediments in food provisioning and security. The outcomes provide valuable insights to fortify policies, guarantee consistent access to plant‐based protein, and address nutritional insecurity within the nation. These policy measures align with the initiatives undertaken by the United Nations and Türkiye, which actively engage in establishing a grain corridor to facilitate Ukraine's grain exports, thereby ensuring food security and safeguarding agricultural lands. [EconLit Citations: A1, E3, G1, Q0, Q1, Q2, Q4].

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The asymmetric effects of uncertainty on inflation and output growth

Cited by 212 publications

References 35 publications

Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7

Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7

Modeling the Link between US Inflation and Output: The Importance of the Uncertainty Channel

Unraveling Turkish agricultural market challenges: Consequences of COVID‐19, Russia–Ukraine conflict, and energy market dynamics

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