On the real effects of inflation and inflation uncertainty in Mexico

رابطه میان تورم و نااطمینانی آن می تواند تحت تأثیر رژیم های تورمی مختلف قرار گیرد . تحقیقات انجام شده در ایران، نقش این رژیم ها در ارتباط پویای تورم و نااطمینانی را بررسی نکرده اند. به‌منظور پرکردن این خلأ در ادبیات اقتصاد ایران، این مقاله به مطالعه رابطه میان تورم و نااطمینانی آن با وجود انتقال رژیم و با توجه به رفتار نامتقارن الگو می پردازد. برای دستیابی به این هدف از تبدیل مارکوف در چارچوب یک الگوی تعمیم یافته گارچ نامتقارن استفاده می گردد. به این منظور دو معادله به ترتیب برای تورم و نااطمینانی آن، برای دوره (2013:07-1990:03) برآورد می گردد. معادله اول تحت دو رژیم فشار تورمی فزاینده وکاهنده و معادله دوم رفتار در دو وضعیت نوسانات تورمی زیاد و کم برآورد می شود. برآوردها نشان می دهد که اثر نااطمینانی تورم بر سطح تورم در رژیم فشار تورمی فزاینده، مثبت اما در رژیم فشار تورمی کاهنده، منفی است. همچنین در وضعیت نوسانات تورمی زیاد، افزایش تورم باعث ازدیاد نااطمینانی اما در وضعیت نوسانات تورمی کم، سطح تورم بر نااطمینانی تورم تأثیری ندارد. اثرات تکانه های مثبت قیمتی بر نااطمینانی بیش تر از تکانه های منفی می باشد و احتمال ماندگاری در هر وضعیت تورمی در ایران بالا است. با توجه به نتایج، به نظر می رسد که اتخاذ سیاست های تثبیت قیمت ها نه‌تنها در کاهش تورم بلکه در کاهش نااطمینانی تورم نیز نقش مهمی دارند؛ بنابراین، پیشنهاد می گردد که دولت و به‌ویژه بانک مرکزی از اتخاذ سیاست های اقتصادی که به نااطمینانی تورم دامن می زند، اجتناب نماید. ازجمله نتایج مهم دیگر این تحقیق که باید مورد توجه مسئولین پولی قرار گیرد، اهمیت تشخیص درست و به‌موقع نوع رژیم تورمی کشور برای اتخاذ سیاست مناسب است.

Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7

A standard Generalized Autoregressive Conditional Heteroskedastic (q,v) model is employed to construct a measure of monthly inflation uncertainty in 12 emerging market economies, and the relationship between inflation and inflation uncertainty is examined using Granger‐causality tests. The results suggest that higher inflation rates increased inflation uncertainty in all the economies, providing strong support for the Friedman hypothesis. The evidence on the effect of inflation uncertainty on average monthly inflation is more mixed, with increased inflation uncertainty leading to lower average inflation in Colombia, Israel, Mexico, and Turkey, consistent with the Holland hypothesis, but to higher average inflation in Hungary, Indonesia, and Korea, consistent with the hypothesis of Cukierman and Meltzer.

This study examines the relationship between inflation uncertainty and price components in general price level. It examines which price components at general price level cause inflation uncertainty, and also which price components are more affected by such uncertainty. The Turkish economy is observed with regard to the time period between January 2003 and September 2011, and inflation uncertainty is obtained by being defined as conditional variance within the inflation process, which itself is estimated according to not only a function of its past values, but also a set of data including money supply, industrial production index, exchange rate, and interest rate. The relationship between price components and inflation uncertainty is analysed, using Granger Causality Test, Impulse Response and Variance Decompositions Analysis. As per the findings, the effect of inflation uncertainty on the price components of general price level, and similarly, the effects of price components of general price level on the inflation uncertainty differ.

PurposeThe purpose of this paper is to determine the relationship between inflation, inflation uncertainty, growth and growth uncertainty for Australia.Design/methodology/approachMultivariate EGARCH models has been used to estimate the relationship between inflation, inflation uncertainty, growth and growth uncertainty for Australia.FindingsUsing quarterly data in multivariate EGARCH models, this study finds that both inflation uncertainty and output uncertainty have negative and significant effects on output growth. The paper also finds that, while inflation uncertainty has a positive and significant effect on inflation, output uncertainty has a negative and significant effect on inflation. The study uses a newly constructed oil price dummy as a control variable and finds that oil price changes significantly increase inflation uncertainty. The study also finds that inflation uncertainty and the inflation level have both declined since the adoption of a formal inflation‐targeting monetary policy in Australia.Research limitations/implicationsMultivariate EGARCH model can be used to estimate the effects of inflation, inflation uncertainty, growth and growth uncertainty for cross‐country analysis.Originality/valueThis is the first study of the effect of inflation uncertainty and growth uncertainty on inflation and growth in Australia using a newly constructed oil price dummy in a multivariate EGARCH framework.

This paper studies the inflation relationship analysis and inflation uncertainty with relative price’ dispersion in Iran by using the ordinary minimum squares method, during monthly data 1991:4-2012:12. In this paper, we used the GARCH technique in order to modeling and measuring the inflation uncertainty variable. The results show that inflation uncertainty increasing leads to increased relative price dispersion. Also unexpected inflation regardless of being positive or negative increases the relative price dispersion considerably, but the unexpected inflation decomposition to two positive and negative components and lack of considering them in the equation showed that each component is in a high significant level and cannot be considered for symmetric effect of positive or negative unexpected inflation. Corporations change their price against the positive unexpected inflation alternatively in responding to the inflation shocks and consequently the price will be fluctuated for reaching the balance strictly, therefore positive unexpected inflation cases have been increasing in relative price dispersion. In the other hand, corporations have no tendency for changing the goods’ price against the negative unexpected inflation. Also according to the results, inflation variable coefficient is significant from the statistical viewpoint and this means that this variable increases the relative dispersion considerably.

The authors constructed a time series of monthly inflation uncertainty in Turkey from 1960 to 1998 using GARCH models and investigated the link between inflation and inflation uncertainty using Granger tests. The authors found strong statistical support that inflation significantly raised inflation uncertainty in Turkey over the full sample period and three subsamples. The evidence on the effect of inflation uncertainty on average inflation is mixed and depends on the time period examined. An analysis of the political conditions and the record of macroeconomic policy making in Turkey between 1960 and 1998 reveal institutional and political factors that can help explain the empirical results.

Friedman's hypothesis regarding the relationship between inflation, inflation uncertainty and output growth states that full employment policy objective of the government tends to increase the rate of inflation which increases the uncertainty about the future course of inflation. Increase in inflation uncertainty lowers economic efficiency and reduces output growth. There are very few studies for underdeveloped countries particularly for India regarding the relationship between inflation, inflation uncertainty and output growth. Thornton's (2006) study regarding the relationship between inflation and inflation uncertainty in India is univariate in nature and it cannot establish the relationship between inflation uncertainty and output growth. This study intends use the bivariate GARCH model to find out the relation between inflation, inflation uncertainty and output growth simultaneously. In this study we use monthly data of wholesale price index (WPI) and index of industrial production (IIP) of India as the proxies of price and output respectively from 1950:1 to 2011:12. Following Fountas, Karanasos and Kim (2002) we have used the following bivariate GARCH model to estimate simultaneously the means, variances and covariances of inflation and output growth. We use Granger- causality test to know the statistical relationship between average inflation, output growth, inflation uncertainty and output growth uncertainty. We find strong evidence that increase in average inflation raises inflation uncertainty and increase in growth rate increases the growth rate uncertainty. But we do not find any statistically significant relationship between inflation uncertainty and output growth rate.

A bivariate Markov regime switching model is employed to verify whether the relationship between inflation and inflation uncertainty, or the negative effects of inflation and inflation uncertainty on output growth, vary with the level of inflation. Inflation and inflation uncertainty are positively correlated in the high-inflation regime. In contrast, in the low-inflation regime, the direct effect of inflation on output growth is insignificant, but the indirect negative effect on growth via inflation uncertainty is highly significant. The negative influence in a high-inflation regime is 2.664 times greater than that in a low-inflation regime.

Since the 2008-09 global financial crisis, both emerging and developed economies have encountered increased economic uncertainty. Despite substantial research on macroeconomic uncertainties, there remains a significant gap in understanding asymmetric causal relationships between inflation uncertainty and economic growth in inflation-targeting emerging markets. This study addresses this gap by exploring both symmetric and asymmetric causality between inflation uncertainty and economic growth in selected countries: Brazil, Bulgaria, Czech Republic, Greece, India, Korea, Mexico, Russia, and Türkiye. Asymmetric causality tests are crucial as they offer a more nuanced view of how inflation uncertainty and economic growth impact each other in distinct ways, which is vital for enhancing macroeconomic stability and policy effectiveness. The research employs the ARMA-GARCH model to estimate inflation uncertainty and applies both symmetric and asymmetric causality tests. The findings reveal a unidirectional causality from inflation uncertainty to economic growth in Brazil and Bulgaria, and from economic growth to inflation uncertainty in Russia and Türkiye. Furthermore, asymmetric shock analysis shows that negative shocks in inflation uncertainty lead to negative shocks in economic growth in Russia and Korea, while positive shocks in inflation uncertainty correspond with positive shocks in economic growth in India. These insights can help policymakers in emerging markets develop more effective monetary policies. Future research should include a broader range of countries and additional macroeconomic variables to validate these findings and explore inflation uncertainty dynamics further.

Employing a bivariate regime switching model, this paper attempts to examine the regime‐dependent effects of inflation uncertainty and output growth uncertainty on inflation and output growth. Using monthly data of the United Kingdom and the United States, we provide evidence that both nominal and real uncertainty exert regime‐dependent impacts on inflation. Furthermore, in case of both the countries, inflation uncertainty has adverse impact on output growth mainly during the period of economic contraction. Also, for these two countries, it can be argued that higher real uncertainty significantly reduces output growth only in their respective low output growth regimes.

The study explores determinants of money demand (M2) in a developing economy of Pakistan using annual data ranging 1976–2017. The study contributes by two ways. Firstly, it specifically examines the potential impact of exchange rate volatility and inflation uncertainty along with conventional determinants on money demand in Pakistan. Secondly, Bayesian Statistical inference is employed and the estimates are interpreted along with highest posterior density intervals (HPDI) with probability statements in order to cope with the issue of the instability of parameters. The analysis explores the positive impact of real income as well as share prices and the negative effect of interest rate on money demand as predicted by theory and earlier findings. Significant negative estimate of exchange rate shows that substitution effect overcomes wealth effect during exchange rate variations. But magnitude of exchange rate elasticity seems to depend upon strength of depreciation rate and/or future expectations, which may be considered an important research question for future work. Insignificance of exchange rate volatility for money demand in Pakistan is found which requires further research as to know about the behaviour of wealth effect and expectation effect during forex market uncertainty. Most importantly, inflation uncertainty is found to be a potential determinant of money demand in Pakistan. Rising uncertainty of inflation rate seems to have direct effects on precautionary and transaction motives of the demand for money. Findings of this study provides useful insights for policymaking in Pakistan as well as in other developing economies by suggesting inflation uncertainty as the potential determinant of money demand. Finally, Bayesian estimates along with HPDI estimates provide new information about the effects and particularly about the possible range of elasticities.

This paper investigates how inflation and its uncertainty impact GDP growth in eight Central and Eastern European Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different distribution functions, while the nonlinear effect of inflation and its uncertainty on GDP growth is assessed in the Bayesian quantile regression framework. We find that inflation has significantly smaller negative effect on GDP growth than inflation uncertainty, which confirms the Friedman hypothesis. This means that inflation in the selected countries has an indirect impact on GDP growth via inflation uncertainty. We find that countries with smaller economy, such as Latvia and Estonia experience more adverse effect from inflation uncertainty in both upturn and downturn conditions, probably because they are vulnerable to external inflationary shocks. As for the countries with bigger economy, inflation uncertainty shocks diminish GDP growth only in conditions when output growth is very low or negative.

Purpose– The purpose of this paper is to examine the causal relationships between inflation, output growth and their uncertainties in Malaysia.Design/methodology/approach– The modeling approach allows for structural breaks to avoid the masking of specific impacts.Findings– Based on the asymmetric Generalized Autoregressive Conditional Heteroskedasticity model, the paper found strong evidence favoring a positive effect of a change in the inflation uncertainty as predicted by the Friedman-Ball hypothesis. In addition, inflation (inflation uncertainty) has direct (indirect) negative effect on the output growth. The results are consistent with the Taylor effect – increases in inflation uncertainty decreases output uncertainty. The analysis also reveals that economic uncertainty lowers the growth rate of output, complying with Bernanke's idea.Originality/value– The present study suggests that extra efforts are required to locate the breaks in the variance in order to draw concrete evidence on link between economic uncertainty and macroeconomic performance.

Inflation and inflation uncertainty are critical factors influencing the functioning of markets and thus the efficient flow of economic activities. In this study, we investigated the effects of inflation and inflation uncertainty on growth in Ghana. Unlike the majority of the previous studies, we distinguished the short-run effects of inflation and inflation uncertainty on growth from the long-run effects. Also, unlike the previous studies, we examined whether increases in inflation uncertainty have the same effects on growth as decreases in it. By applying linear and nonlinear specifications to a data set covering the period 1963 to 2015, we found that inflation has both short and long-run negative effects on growth. Inflation uncertainty has a differential short-run effect and a negative long-run effect on growth. Increases in inflation uncertainty hurt growth, while decreases may reverse this pattern, albeit slowly. Both inflation and inflation uncertainty are critical determinants of growth in the country. To promote growth, policymakers should continue to pursue a low inflation target while ensuring minimal inflation uncertainty.