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The Effects of Uncertainty on Macroeconomic Performance: The Importance of the Conditional Covariance Model.
Grier, K.B.; Henry, O.T.; Olekalns, N. - Department of Economics, Faculty of Business and Economics - 2001
We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for … the conditional covariance of inflation and growth to be both nondiagonal and asymmetric. We show that the data reject … increased growth uncertainty is associated with significantly higher average growth, and that higher inflation uncertainty is …
Persistent link: https://www.econbiz.de/10005574809
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A Comment on
Henry, O.T.; Olekalns, N. - Department of Economics, Faculty of Business and Economics - 1999
Research by Ghali (1999) tested for the existence of causality between wages and prices in United States' aggregate data using a multivariate cointegration framework. We show that Ghali's model is misspecified and that the correct specification leads to a different interpretation of the long-run...
Persistent link: https://www.econbiz.de/10005574863
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The Effect of Collective Bargaining and Central Bank Independence on Inflation and Unemployment: Evidence From the OECD.
Chou, Y.K. - Department of Economics, Faculty of Business and Economics - 2000
monetary and labour market institutions explain a significant portion of the surprisingly diverse inflation and unemployment … wage bargaining. We observe that inflation has a hump-shaped relationship with central bank independence and union density … smaller deviations of actual inflation rates from predicted rates in the aftermath of the 1973-74 OPEC price shock. …
Persistent link: https://www.econbiz.de/10005587691
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Measuring the Response of Macroeconomic Uncertainty to Shocks
Shields, Kalvinder; Olekalns, Nilss; Henry, Ólan T.; … - Department of Economics, Faculty of Business and Economics - 2003
about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation … and output growth to shocks documenting statistically significant asymmetries and spillovers. Uncertainty about inflation … is a determinant of output uncertainty, while higher growth volatility tends to raise inflation volatility. Both …
Persistent link: https://www.econbiz.de/10005587714