The asymmetric effects of uncertainty on inflation and output growth

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

Research output: Contribution to journalArticle

136 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)551-565
Number of pages15
JournalJournal of Applied Econometrics
Volume19
Issue number5
DOIs
StatePublished - Sep 2004

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