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Investigation On The Causal Relationship Between Inflation, Output Growth And Their Uncertainties In Romania

Author

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  • Carmen PINTILESCU

    (Alexandru Ioan Cuza University of Iasi, Romania, Faculty of Economics and Business Administration)

  • Mircea ASANDULUI

    (Alexandru Ioan Cuza University of Iasi, Romania, Faculty of Economics and Business Administration)

  • Elena-Daniela VIORICA

    (Alexandru Ioan Cuza University of Iasi, Romania, Faculty of Economics and Business Administration)

  • Danut-Vasile JEMNA

    (Alexandru Ioan Cuza University of Iasi, Romania, Faculty of Economics and Business Administration)

Abstract

Based on monthly-recorded data for the 1990-2014 period related to output growth and inflation, we use heteroskedastic models in order to estimate the nominal and real uncertainty in Romania. Real uncertainty is derived from output growth volatility and nominal uncertainty is derived from inflation volatility. Of the 12 possible hypotheses regarding causal relationships between output growth, inflation, nominal uncertainty and real uncertainty, we consider 7 hypotheses for which we find strong theoretical arguments and empirical evidence in literature. In order to ensure the robustness of the results, the Granger-causality tests are performed for 4, 8 and 12 lags, which are then used to test 7 economic hypotheses.

Suggested Citation

  • Carmen PINTILESCU & Mircea ASANDULUI & Elena-Daniela VIORICA & Danut-Vasile JEMNA, 2016. "Investigation On The Causal Relationship Between Inflation, Output Growth And Their Uncertainties In Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 17, pages 71-89, June.
    • Handle: RePEc:aic:revebs:y:2016:j:17:pintilescuc
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    Cited by:

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    More about this item

    Keywords

    output growth; inflation; uncertainty; heteroskedastic models;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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