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Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework_ Implications for monetary policy
عدم اطمینان اسمی ، عدم اطمینان واقعی و عملکرد اقتصادی کلان در یک چارچوب نامتقارن متغیر زمان- پیامدهای سیاست پولی-2017 This study examines the dynamic causal links and volatility spillovers of inflation, output growth
and their uncertainties in four South Asian countries, namely, Pakistan, India, Bangladesh and Sri
Lanka by utilizing asymmetric GARCH family models. Our empirical evidence supports a number
of important conclusions. There is an overwhelming support for Friedman-Ball hypothesis of
positive inflation-uncertainty trade-off for all countries excluding India and Sri Lanka. The
Cukierman-Meltzer’s idea that inflation uncertainty generates inflation, hold for Bangladesh and
Sri Lanka only and the Holland’s hypothesis of negative influence of inflation uncertainty on level
inflation is supported by India only. The positive influence of output uncertainty on inflation
(Devereux (1989) hypothesis) is supported by all countries excluding Bangladesh while nominal
uncertainty (real uncertainty) has negative (positive) effect on output growth in Pakistan
(Bangladesh). Output growth is reducing real uncertainty in all countries excluding Sri Lanka and
nominal uncertainty in Pakistan only. There is significant negative relationship between inflation
and output growth for Pakistan only while real uncertainty is positively (negatively) related with
nominal uncertainty in India (Bangladesh). The estimated results are almost robust with the
simultaneous estimation procedure for testing the main hypotheses. In general, there is asym
metric effect and persistence of the GARCH parameters for all countries. The study suggests that
the concerned central banks should pay more attention to the effects of macroeconomic un
certainty and should focus their monetary policy strategy on stabilizing both output growth and
inflation.
Keywords: Inflation | Output growth | Inflation uncertainty | Output uncertainty | South Asia |
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