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The asymmetric effects of uncertainty on inflation and output growth
Author(s) -
Grier Kevin B.,
Henry Ólan T.,
Olekalns Nilss,
Shields Kalvinder
Publication year - 2004
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.763
Subject(s) - economics , volatility (finance) , inflation (cosmology) , econometrics , inflation rate , monetary economics , monetary policy , physics , theoretical physics
We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post‐war US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude. Copyright © 2004 John Wiley & Sons, Ltd.