The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence

@article{Grier2000TheEO,
  title={The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence},
  author={Kevin B. Grier and M. Perry},
  journal={Journal of Applied Econometrics},
  year={2000},
  volume={15},
  pages={45-58}
}
  • Kevin B. Grier, M. Perry
  • Published 2000
  • Economics
  • Journal of Applied Econometrics
  • In this paper we use GARCH-M methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the United States from 1948 to 1996. We find no evidence that higher inflation uncertainty or higher output growth uncertainty raises the average inflation rate. We also find no support for the idea that more risky output growth is associated with a higher average real growth rate. Our key result is that in a variety of models and sample… CONTINUE READING

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