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The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh

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  • Said Zamin Shah

    (Department of Economics, Faculty of Economics and Management, University Putra Malaysia, 43400 Serdang, Selangor, Malaysia,)

  • Said Zamin Shah

    (Department of Economics, Islamia College University, Peshawar, Khyber Pukhtunkhwa, Pakistan.)

  • Ahmad Zubaidi Baharumshah

    (Department of Economics, Faculty of Economics and Management, University Putra Malaysia, 43400 Serdang, Selangor, Malaysia,)

  • Muzafar Shah Habibullah

    (Department of Economics, Faculty of Economics and Management, University Putra Malaysia, 43400 Serdang, Selangor, Malaysia,)

  • Law Siong Hook

    (Department of Economics, Faculty of Economics and Management, University Putra Malaysia, 43400 Serdang, Selangor, Malaysia,)

Abstract

This study examines an empirical analysis of the causal links and volatility spillovers between inflation, output growth and their uncertainties in Bangladesh by utilizing the autoregressive AR(p)-exponential generalized AR conditional heteroscedasticity (EGARCH) model for the period 1993-2014. The study shows that EGARCH version provides the best statistical fit by investigating that volatility is variable and asymmetric than symmetric. The empirical results show an overwhelming support for Friedman-Ball hypothesis that inflationary shocks affect inflation uncertainty positively. Both inflation and output growth generate output uncertainty which is detrimental for real economic activity while nominal uncertainty (real uncertainty) is positively (negatively) affecting output growth. Finally, output uncertainty is reducing inflation uncertainty while there is no effect from the opposite side. Our estimated results suggest that policy makers should adopt dynamic stabilization policies in order to reduce a rise in inflation and to achieve economic stability for stimulating output growth further

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  • Said Zamin Shah & Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah & Law Siong Hook, 2017. "The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 377-386.
    • Handle: RePEc:eco:journ1:2017-01-49
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    Cited by:

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    3. Shah, Said Zamin & Baharumshah, Ahmad Zubaidi & Hook, Law Siong & Habibullah, Muzafar Shah, 2017. "Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework: Implications for monetary policy," Research in International Business and Finance, Elsevier, vol. 42(C), pages 75-93.

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    More about this item

    Keywords

    Inflation; Output Growth; Uncertainties; Bangladesh; Autoregressive(p)-Exponential Generalized Autoregressive Conditional Heteroscedasticity;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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