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Causality between inflation and real growth |
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| Affiliation: | 1. Università Cattolica, Dipartimento di Economia e Finanza, Milano, Italy;2. Norges Bank, Norway;3. BI Norwegian Business School, Norway;1. Interventional Cardiology Unit, San Raffaele Scientific Institute, Milan, Italy;2. Interventional Cardiology Unit, EMO-GVM Centro Cuore Columbus, Milan, Italy;3. Interventional Cardiology Unit, New Tokyo Hospital, Chiba, Japan;4. Imperial College Healthcare NHS Trust, London, United Kingdom |
| Abstract: | The paper investigates inflation-growth causality over 1947–2005 with VARMA-ML-Asymmetric-VGARCH. The results imply that one uncertainty affects positively its level and much less negatively the other level whereas one level influences positively both uncertainties. Friedman's hypothesis was not strongly rejected. |
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