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The relationship between inflation, output growth, and inflation uncertainty: Panel data evidence from selected industrial countries

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dc.contributor.author Omay, Tolga
dc.contributor.author Eruygur, Ayşegül
dc.date.accessioned 2023-02-09T06:42:06Z
dc.date.available 2023-02-09T06:42:06Z
dc.date.issued 2012-12
dc.identifier.citation Omay, Tolga; Eruygur, Ayşegül (2012). "The relationship between inflation, output growth, and inflation uncertainty: Panel data evidence from selected industrial countries", Inflation, Deflation and Disinflation, pp. 169-181. tr_TR
dc.identifier.isbn 9781613244791
dc.identifier.uri http://hdl.handle.net/20.500.12416/6151
dc.description.abstract In this chapter, we have examined the causal relationships among the inflation rate, output growth rate, and inflation uncertainty for a panel of industrialized countries. For this purpose, we have estimated a PANEL-GARCH model for inflation rate and performed Panel-causality tests using conditional standard deviations of inflation to proxy nominal uncertainty. The relationships among inflation, output growth, and inflation uncertainty have been investigated extensively in the empirical literature for developed countries (e.g., Grier and Perry 1998; Davis and Kanago, 2000; Fountas et al. 2006; Fountas and Karanasos 2007). Our main contribution is to extend the analysis conducted by these studies to a group of developed countries using panel data techniques. The panel Granger test results have showed that the Friedman-Ball hypothesis is not supported by data when applied to the group of countries included in this chapter. This has led us to conclude that a threshold level of inflation does exist before the Friedman- Ball hypothesis applies. On the other hand, the reported test results have provided empirical support for the Cukierman-Meltzer (1986) hypothesis that inflation uncertainty raises the inflation rate in the group of industrialized countries under investigation. Our findings regarding the causal relationship between inflation uncertainty and output growth report a bidirectional relationship between these two variables. While output growth leads to an increase in inflation uncertainty at first lag, this effect is found to be insignificant at fourth lags. However, inflation uncertainty is found to be detrimental for real growth uniformly across the lags considered. Finally, a negative bidirectional causal relation was detected between output growth and inflation. tr_TR
dc.language.iso eng tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Granger-Causality Tests tr_TR
dc.subject Industrialized Countries tr_TR
dc.subject Inflation tr_TR
dc.subject Output Growth tr_TR
dc.subject Uncertainty tr_TR
dc.title The relationship between inflation, output growth, and inflation uncertainty: Panel data evidence from selected industrial countries tr_TR
dc.type bookPart tr_TR
dc.relation.journal Inflation, Deflation and Disinflation tr_TR
dc.identifier.startpage 169 tr_TR
dc.identifier.endpage 181 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Uluslararası Ticaret Bölümü tr_TR


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