Uncertainty Channel between Inflation and Output Growth in Japan and Korea

• 영문명: Uncertainty Channel between Inflation and Output Growth in Japan and Korea
• 발행기관: 한국무역연구원
• 저자명: Chung Sang-Kuck Kim Seong- Ki
• 간행물 정보: 『무역연구』제10권 제1호, 201~224쪽, 전체 23쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.02.28

영문 초록

Bivariate ARFIMA and ARMA-GARCH-M models are used to explain the relationship between uncertainty and average outcomes for inflation and output growth. To analyze the quantitative importance, the effect of an inflation (output) surprise on inflation (output growth) uncertainty, average inflation and output growth were considered. Empirical results show different effects of uncertainty on inflation and growth. For the Japanese economy empirical results provide strong empirical confinnation of Friedman s hypothesis. Bivariate ARFIMA-GARCH-M model also provides a statistical support for Cukiennan and Meltzer s, Deveraux s, and Black s are all statistically significant, but the coefficients for Deveraux s and Black s are negative. For the Korean economy from ARFIMA-GARCH-M models, the Friedman and Deveraux s hypotheses do hold, but two other hypotheses do not obtain statistical support.

목차

Abstract

Ⅰ. Introduction

Ⅱ. Statistical Model of Inflation and Output Growth

Ⅲ. Empirical Analysis

Ⅳ. Conclusion

Acknowledgement

References

키워드

ARFIMA and ARMA-GARCH-M models inflation and output growth