Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries
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 unce...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
World Scientific Publishing
2013
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| Online Access: | http://psasir.upm.edu.my/id/eprint/28387/ http://psasir.upm.edu.my/id/eprint/28387/1/Inflation.pdf |
| _version_ | 1848846103049404416 |
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| author | Mohd, Siti Hamizah Baharumshah, Ahmad Zubaidi Fountas, Stilianos |
| author_facet | Mohd, Siti Hamizah Baharumshah, Ahmad Zubaidi Fountas, Stilianos |
| author_sort | Mohd, Siti Hamizah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T08:57:23Z |
| format | Article |
| id | upm-28387 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:57:23Z |
| publishDate | 2013 |
| publisher | World Scientific Publishing |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-283872015-10-07T01:18:55Z http://psasir.upm.edu.my/id/eprint/28387/ Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries Mohd, Siti Hamizah Baharumshah, Ahmad Zubaidi Fountas, Stilianos 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. World Scientific Publishing 2013-12 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28387/1/Inflation.pdf 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 http://www.worldscientific.com/doi/abs/10.1142/S0217590813500306?journalCode=ser 10.1142/S0217590813500306 |
| spellingShingle | Mohd, Siti Hamizah Baharumshah, Ahmad Zubaidi Fountas, Stilianos Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries |
| title | Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries |
| title_full | Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries |
| title_fullStr | Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries |
| title_full_unstemmed | Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries |
| title_short | Inflation, inflation uncertainty and output growth: recent evidence from ASEAN-5 countries |
| title_sort | inflation, inflation uncertainty and output growth: recent evidence from asean-5 countries |
| url | http://psasir.upm.edu.my/id/eprint/28387/ http://psasir.upm.edu.my/id/eprint/28387/ http://psasir.upm.edu.my/id/eprint/28387/ http://psasir.upm.edu.my/id/eprint/28387/1/Inflation.pdf |