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A Bivariate ARFIMA-IGARCH-M Modelling of the Effects of Uncertainty on Inflation and Output Growth

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Authors
Chung, SangKuck
Issue Date
2002
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 15 (No. 1 2002): 79-100
Keywords
Inflation; Output Growth; Bivariate ARFIMA-IGARCH-M model
Abstract
The main contribution of this paper is to use bivariate ARFIMA-IGARCH-M methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the Korean economy from 1970 to 2002. According to sample types, empirical results show different effects of uncertainty on inflation and growth. Using the producer prices and wholesale prices index, we support all hypotheses considered except Friedman's and reject the Cukierman and Meltzer hypothesis only using consumer prices index.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1262
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.15(1) (Spring 2002)
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