Macroeconomic Uncertainty and Performance in Asian Countries

被引:20
作者
Bredin, Don [3 ]
Elder, John [2 ]
Fountas, Stilianos [1 ]
机构
[1] Univ Macedonia, Dept Econ, Thessaloniki 54006, Greece
[2] N Dakota State Univ, Coll Business, Fargo, ND 58108 USA
[3] Univ Coll Dublin, Dept Banking & Finance, Dublin 4, Ireland
关键词
INFLATION UNCERTAINTY; OUTPUT GROWTH; IRREVERSIBILITY; VARIABILITY; INVESTMENT; VARIANCE; POLICY;
D O I
10.1111/j.1467-9361.2009.00508.x
中图分类号
F0 [经济学]; F1 [世界各国经济概况、经济史、经济地理]; C [社会科学总论];
学科分类号
0201 ; 020105 ; 03 ; 0303 ;
摘要
We use a very general bivariate GARCH-M model and quarterly data for five Asian countries to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth. We conclude the following. First, in the majority of countries uncertainty regarding the output growth rate is related negatively to the average growth rate. Secondly, contrary to expectations, inflation uncertainty in most cases does not harm the output growth performance of an economy. Thirdly, inflation and output uncertainty have a mixed effect on inflation. Consistent results are found using the VAR-GARCH-M approach to investigate the dynamic relationship between inflation and output growth using impulse response functions. This evidence implies that macroeconomic uncertainty may even improve macroeconomic performance, i.e. raise output growth and reduce inflation. Our empirical results highlight important differences with those for industrialized countries.
引用
收藏
页码:215 / 229
页数:15
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