The link between macroeconomic performance and variability in the UK |
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Authors: | Christian Conrad Menelaos Karanasos Ning Zeng |
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Institution: | 1. University of Southern California, United States;2. Central Bank of the Republic of Turkey, Turkey |
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Abstract: | This paper examines the link between inflation, output growth and their respective variabilities. We employ a bivariate GARCH model, which incorporates mean and level effects, to investigate in a unified empirical framework all the possible interactions between the four variables. We show that not only does variability affect performance but the latter influences the former as well. Specifically, inflation has a positive impact on both variabilities. |
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