不确定性、通货膨胀与产出增长

基于中国1952—2004年的数据,通过GARCH-M模型和广义脉冲响应函数对不确定性、通货膨胀与产出增长进行实证分析。结果发现:通货膨胀不确定性与产出增长负相关;产出增长不确定性与产出增长负相关;产出增长不确定性与通货膨胀正相关;通货膨胀不确定性与通货膨胀负相关;产出增长冲击和通货膨胀冲击对产出增长不确定性和通货膨胀不确定性的影响存在滞后性和非对称性;产出增长对产出增长冲击的动态响应最大,通货膨胀对产出增长冲击的动态响应以及产出增长对通货膨胀冲击的动态响应最小,通货膨胀对通货膨胀冲击的动态响应居中。     

Regime‐dependent effects of uncertainty on inflation and output growth: evidence from the United Kingdom and the United States

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.     

On the real effects of inflation and inflation uncertainty in Mexico

We estimate an augmented multivariate GARCH-M model of inflation and output growth for Mexico at business cycle frequencies. The main findings are: (1) inflation uncertainty has a negative and significant effect on growth; (2) once the effect of inflation uncertainty is accounted for, lagged inflation does not have a direct negative effect on output growth; (3) However as predicted by Friedman and Ball, higher average inflation raises inflation uncertainty, and the overall net effect of average inflation on output growth in Mexico is negative. That is, average inflation is harmful to Mexican growth due to its impact on inflation uncertainty. (4) The Mexican Presidential election cycle significantly raises inflation uncertainty both during the year of the election and the year following the election which has correspondingly negative effects on output growth.     

Macroeconomic Uncertainty and Performance in Asian Countries*

We use a very general bivariate GARCH‐M model and quarterly data for five Asian countries to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth. We conclude the following. First, in the majority of countries uncertainty regarding the output growth rate is related negatively to the average growth rate. Secondly, contrary to expectations, inflation uncertainty in most cases does not harm the output growth performance of an economy. Thirdly, inflation and output uncertainty have a mixed effect on inflation. Consistent results are found using the VAR‐GARCH‐M approach to investigate the dynamic relationship between inflation and output growth using impulse response functions. This evidence implies that macroeconomic uncertainty may even improve macroeconomic performance, i.e. raise output growth and reduce inflation. Our empirical results highlight important differences with those for industrialized countries.     

Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK

This study examines the transmission and response of inflation uncertainty and output uncertainty on inflation and output growth in the UK using a bi-variate EGARCH model. Results suggest that inflation uncertainty has positive and significant effects on inflation before the inflation-targeting period, but that the effect is significantly negative after the inflation-targeting period. On the other hand, output uncertainty has a negative and significant effect on inflation and a positive effect on growth, while oil price rises significantly increase inflation for the UK. Results also indicate that inflation uncertainty significantly reduces output growth before and after the inflation-targeting period. These findings are robust and the Generalized impulse response functions corroborate the conclusions. These results have important implications for an inflation-targeting monetary policy, and for stabilization policy in general.     

Inflation,inflation uncertainty and growth: Are they related?

We examine the relationship between inflation uncertainty, inflation and growth using annual historical data on industrial countries covering in many cases more than one century. Proxying inflation uncertainty by the conditional variance of inflation shocks, we obtain the following results. (1) There is significant evidence for the positive effect of inflation uncertainty on inflation supporting the Cukierman–Meltzer hypothesis. (2) There is mixed evidence on the causal effect of inflation on inflation uncertainty. (3) There is strong evidence that inflation uncertainty is not detrimental to output growth.     

Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach

We empirically investigate the effects of inflation uncertainty on output growth for the United States between 1960 and 2012. Modeling output dynamics within a Markov regime switching framework, we provide evidence that inflation uncertainty exerts a negative and regime‐dependent impact on output growth. A battery of sensitivity checks confirm our findings.     

Spillover Effects of Real and Nominal Uncertainties in India

This paper examines the spillover effects and the causality between inflation, output growth and its uncertainties for India. Using monthly data for the period from April 1980 to April 2011, we estimated a bi-variate GARCH in mean with BEKK representations. This study differs from the earlier works where the parameters in the BEKK representations are estimated individually and the inferences are drawn on the basis of the individual lagged variance, covariance, and error terms from the respective equations. The empirical evidence suggests that inflation uncertainty seems to have significant negative impact on output growth and positive impact on output uncertainty and there is a positive influence of output uncertainty on the inflation. More importantly, there are spillovers and volatility transmission effects between the macroeconomic uncertainties where the volatility in output growth is significantly influenced by the shocks and volatility in inflation.

     

Macroeconomic uncertainty,inflation and growth: Regime-dependent effects in the G7

We analyze the causal effects of real and nominal macroeconomic uncertainty on inflation and output growth by considering whether these effects are cycle phase specific. Employing a bivariate Smooth Transition EGARCH-M model for the G7 countries during 1957–2009, we find strong nonlinearities. First, uncertainty regarding the output growth rate is related with a higher average growth rate mostly in a low-growth regime, supporting the theory of “creative destruction”. Second, higher inflation uncertainty diminishes growth rates, mainly at a high-inflation regime. Finally, real uncertainty has mixed effects on average inflation, while the effect of nominal uncertainty is typically positive, especially so during inflationary periods. Our findings suggest that these relationships are sufficiently complex to require treatment with nonlinear models.     

Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel

This article employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in‐mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework, we examine the twelve potential intertemporal relationships among inflation, growth and their respective uncertainties using US data. We find that high inflation is detrimental to output growth both directly and indirectly via the nominal uncertainty. Output growth boosts inflation but mainly indirectly through a reduction in real uncertainty. Our findings highlight how macroeconomic performance affects nominal and real uncertainty in many ways and that the bidirectional relation between inflation and growth works to a large extent indirectly via the uncertainty channel.     

Inflation forecast uncertainty

We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed in the context of models for forecasting and asset pricing, and improved estimation methods are suggested. Popular time series models are evaluated for their ability to reproduce survey measures of uncertainty. The results show that disagreement is a better proxy of inflation uncertainty than what previous literature has indicated, and that forecasters underestimate inflation uncertainty. We obtain similar results for output growth uncertainty.     

Monetary control uncertainty and inflation bias

This paper offers an alternative explanation for the occurrence of an inflation bias with and without an output goal exceeding natural output. A monetary game model is developed from which an inflation bias emerges because the policymaker increases money growth in order to avoid a recession due to a possible negative control error. Whereas higher additive instrument uncertainty increases the inflation bias, higher multiplicative uncertainty decreases it. Delegating monetary policy to an independent and conservative central banker decreases the inflation bias for all types of control errors.     

The role of inflation uncertainty in Germany: Friedman's hypothesis revisited

The paper reconsiders Friedman's (1977) proposition that increased inflation uncertainty may have adverse real effects for the German case. A proxy for the unobservable uncertainty variable is obtained from the Kalman-filtering estimation of a time-varying parameter model of inflation. This measure is introduced into an output equation that also includes anticipated and unanticipated inflation, thus allowing tests of both the Friedman and the Macro Rational Expectations hypotheses. The empirical evidence does not provide strong support for Friedman's view. Unanticipated inflation, on the other hand, seems to play a significant role for German output growth in the short run.     

THE PARTISAN MODEL OF MACROECONOMIC CYCLES: MORE THEORY AND EVIDENCE FOR THE UNITED STATES*

The “Partisan Theory” of macroeconomic policy is based on the idea that political parties typically weight nominal and real economic performance differently, with left-party governments being more inclined than right-party ones to pursue expansive policies designed to yield lower unemployment and higher growth, but running the risk of extra inflation. Given suitable assumptions about the structure of the macroeconomy, partisan models imply a political signal in demand management, output and inflation movements originating with shifts in party control of the government. In this paper I develop and test with postwar US data a revised Partisan model that allows for (i) uncertainty among policy authorities about the sustainable output growth rate and therefore about how aggregate demand expansions will be partitioned between extra output and extra inflation, and (ii) ex-post and projective learning and preference adjustment under such uncertainty. Dynamic numerical analysis of a small, stylized political-economic model based on these extensions of Partisan Theory generates within-sample forecasts that correspond remarkably well to the observed pattern of price, output and nominal spending fluctuations under the parties.     

The loss from uncertainty on policy targets

What is the welfare loss arising from uncertainty about true policy targets? We quantify these effects in a DSGE model where private agents are unable to distinguish between temporary shocks to potential output and to the inflation target. Agents use optimal filtering techniques to construct estimates of the unknown variables. We find that the welfare costs of not observing the inflation target and potential output are relevant even in the case of a small measurement error. We also show that, in our framework, uncertainty about the inflation target is more costly than uncertainty about potential output.     

THE PROPAGATION OF UNCERTAINTY SHOCKS: ROTEMBERG VERSUS CALVO

This article studies the effects of uncertainty shocks on economic activity, focusing on inflation. Using a vector autoregression, I show that increased uncertainty has negative demand effects, reducing GDP and prices. I then consider standard New Keynesian models with Rotemberg-type and Calvo-type price rigidities. Despite the belief that the two schemes are equivalent, I show that they generate different dynamics in response to uncertainty shocks. In the Rotemberg model, uncertainty shocks decrease output and inflation, in line with the empirical results. By contrast, in the Calvo model, uncertainty shocks decrease output but raise inflation because of firms' precautionary pricing motive.     

货币增长不确定性与通货膨胀不确定性——“波动溢出”假说与实证检验

文章基于通货膨胀——通货膨胀不确定性关系的理论研究,提出货币增长不确定性向通货膨胀不确定性波动溢出的计量检验假说,并利用中国数据,运用多元GARCH模型进行实证检验。结果发现,存在货币增长不确定性显著向通货膨胀不确定性波动溢出的效应。这意味着,货币增长不确定性具有提供有关预测通货膨胀不确定性信息的能力。同时也表明,货币增长不确定性是通货膨胀不确定性的重要解释变量,其重要性不应被忽视。实证结论的政策含义是:减少货币增长不确定性是降低通货膨胀不确定性的重要途径,我国20世纪90年代中后期稳健的货币政策所带来的通货膨胀不确定性显著降低的现实支持了这个观点。     

Is there a role for uncertainty in forecasting output growth in OECD countries? Evidence from a time-varying parameter-panel vector autoregressive model

This paper uses a time-varying parameter-panel vector autoregressive (TVP-PVAR) model to analyze the role played by domestic and US news-based measures of uncertainty in forecasting the growth of industrial production of 12 Organisation for Economic Co-operation and Development (OECD) countries. Based on a monthly out-of-sample period of 2009:06 to 2017:05, given an in-sample of 2003:03 to 2009:05, there are only 46% of cases where domestic uncertainty can improve the forecast of output growth relative to a baseline monetary TVP-PVAR model, which includes inflation, interest rate and nominal exchange rate growth, besides output growth. Moreover, including US uncertainty does not necessarily improve the forecasting performance of output growth from the TVP-PVAR model which includes only the domestic uncertainty along with the baseline variables. So, in general, while uncertainty is important in predicting the future path of output growth in the 12 advanced economies considered, a forecaster can do better in majority of the instances by just considering the information from standard macroeconomic variables.     

The role of macroeconomic and policy uncertainty in density forecast dispersion

We explore empirically the role of macroeconomic and policy uncertainty in explaining dispersion in professional forecasters’ density forecasts, and in explaining individual forecaster uncertainty (defined as the uncertainty expressed by individual forecasters in their density forecasts). We focus on US real output growth and inflation, using data from the Philadelphia Fed's quarterly Survey of Professional Forecasters (SPF), 1992-2016. We find that dispersion in individual density forecasts is related to macroeconomic uncertainty, especially in longer horizon forecasts, but not policy or forecaster uncertainty. There is also little evidence that forecaster uncertainty reflects macroeconomic or policy uncertainty.     

Competing macro-hypotheses in the United States: A Kalman filtering approach

The empirical validity of alternative views about the short-run determinants of real output growth in the United States is investigated. A nested framework is used to test the macro rational expectations (MRE) hypothesis directly against two competing hypotheses - the neo-Keynesian view that anticipated and unanticpated monetary policy both matter,and Friedman's (1977) proposition that increased inflation uncertainty reduces real output at least temporarily. The unobservable explanatory variables are obtained from time-varying-parameter models of inflation and money growth, which generate forecast errors and their conditional variances consistent with rational expectations under a continuously chaning policy regime. The empirical results strongly support Friedman's view. The MRE hypothesis must be rejected since both anticipated and unanticipated monetary changes matter. The results prove robust across different model specifications and estimation techniques.