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| Tekijä: | Davis, G. Kanago, B. |
| Otsikko: | On measuring the effects of inflation uncertainty on real GNP growth |
| Lehti: | Oxford Economic Papers
1996 : JAN, VOL. 48:1, p. 163-175 |
| Asiasana: | ECONOMICS GROSS NATIONAL PRODUCT INFLATION |
| Kieli: | eng |
| Tiivistelmä: | In this paper the authors re-examine the relationship between inflation uncertainty and total output. To properly specify an estimating equation, the authors investigate the time series properties of two frequently used measures of inflation uncertainty. The authors fail to reject the hypothesis that each series has a unit root. However, the uncertainty measures are not cointegrated with output and relative oil prices. This means that the proper specification is in terms of differences. It is unlikely that an inflation uncertainty shock on its own could produce a recession. |
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