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

Siti Hamizah Mohd, Ahmad Zubaidi Baharumshah, Stilianos Fountas

    Research output: Contribution to journalArticle

    4 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Article number1350030
    JournalSingapore Economic Review
    Volume58
    Issue number4
    DOIs
    Publication statusPublished - Dec 2013

    Fingerprint

    Inflation uncertainty
    Output growth
    Inflation
    Surprise
    Economic growth
    Indirect effects
    GARCH model

    Keywords

    • ASEAN
    • Inflation
    • inflation uncertainty
    • output growth

    ASJC Scopus subject areas

    • Economics and Econometrics

    Cite this

    Inflation, inflation uncertainty and output growth : Recent evidence from ASEAN-5 countries. / Mohd, Siti Hamizah; Baharumshah, Ahmad Zubaidi; Fountas, Stilianos.

    In: Singapore Economic Review, Vol. 58, No. 4, 1350030, 12.2013.

    Research output: Contribution to journalArticle

    Mohd, Siti Hamizah ; Baharumshah, Ahmad Zubaidi ; Fountas, Stilianos. / Inflation, inflation uncertainty and output growth : Recent evidence from ASEAN-5 countries. In: Singapore Economic Review. 2013 ; Vol. 58, No. 4.
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