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The link between macroeconomic performance and variability in the UK

This paper examines the link between inflation, output growth and their respective variabilities. We employ a bivariate GARCH model, which incorporates mean and level effects, to investigate in a unified empirical framework all the possible interactions between the four variables. We show that not only does variability affect performance but the latter influences the former as well. Specifically, inflation has a positive impact on both variabilities.
Year of publication:
2010
Authors: Conrad, Christian ; Karanasos, Menelaos ; Zeng, Ning
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 106.2010, 3, p. 154-157
Publisher: Elsevier
Keywords: Inflation Macroeconomic performance Output growth Stochastic volatility
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008551361
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