Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries

This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1–2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation unce...

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Main Authors: Mohd, Siti Hamizah, Baharumshah, Ahmad Zubaidi, Fountas, Stilianos
Format: Article
Language:English
Published: World Scientific Publishing 2013
Online Access:http://psasir.upm.edu.my/id/eprint/28387/1/Inflation.pdf
http://psasir.upm.edu.my/id/eprint/28387/
http://www.worldscientific.com/doi/abs/10.1142/S0217590813500306?journalCode=ser
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spelling my.upm.eprints.283872015-10-07T01:18:55Z http://psasir.upm.edu.my/id/eprint/28387/ Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries Mohd, Siti Hamizah Baharumshah, Ahmad Zubaidi Fountas, Stilianos This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1–2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation uncertainty increases more in response to positive inflation surprises than to negative surprises in all countries; (ii) inflationary shocks affect positively inflation uncertainty as predicted by the Friedman–Ball hypothesis; (iii) there is no evidence to suggest that inflation uncertainty causes inflation and; (iv) there is evidence that inflation affects growth negatively, both directly and indirectly (via the inflation uncertainty channel). The indirect effect is clearly stronger as it applies in all countries in the sample. World Scientific Publishing 2013-12 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28387/1/Inflation.pdf Mohd, Siti Hamizah and Baharumshah, Ahmad Zubaidi and Fountas, Stilianos (2013) Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries. Singapore Economic Review, 58 (4). pp. 1-17. ISSN 0217-5908; ESSN: 1793-6837 http://www.worldscientific.com/doi/abs/10.1142/S0217590813500306?journalCode=ser 10.1142/S0217590813500306
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over the period 1980: Q1–2011: Q3. We rely on the Exponential GARCH (EGARCH) model to explore the causal relationship among the three variables. The major findings are: (i) inflation uncertainty increases more in response to positive inflation surprises than to negative surprises in all countries; (ii) inflationary shocks affect positively inflation uncertainty as predicted by the Friedman–Ball hypothesis; (iii) there is no evidence to suggest that inflation uncertainty causes inflation and; (iv) there is evidence that inflation affects growth negatively, both directly and indirectly (via the inflation uncertainty channel). The indirect effect is clearly stronger as it applies in all countries in the sample.
format Article
author Mohd, Siti Hamizah
Baharumshah, Ahmad Zubaidi
Fountas, Stilianos
spellingShingle Mohd, Siti Hamizah
Baharumshah, Ahmad Zubaidi
Fountas, Stilianos
Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries
author_facet Mohd, Siti Hamizah
Baharumshah, Ahmad Zubaidi
Fountas, Stilianos
author_sort Mohd, Siti Hamizah
title Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries
title_short Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries
title_full Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries
title_fullStr Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries
title_full_unstemmed Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries
title_sort inflation, inflation uncertainty and output growth: recent evidence from asean-5 countries
publisher World Scientific Publishing
publishDate 2013
url http://psasir.upm.edu.my/id/eprint/28387/1/Inflation.pdf
http://psasir.upm.edu.my/id/eprint/28387/
http://www.worldscientific.com/doi/abs/10.1142/S0217590813500306?journalCode=ser
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