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


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


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.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.1142/S0217590813500306
Publisher: World Scientific Publishing
Keywords: Inflation; Inflation uncertainty; Output growth; ASEAN
Depositing User: Nabilah Mustapa
Date Deposited: 27 Apr 2015 04:44
Last Modified: 07 Oct 2015 01:18
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1142/S0217590813500306
URI: http://psasir.upm.edu.my/id/eprint/28387
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