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Bootstrap causality between inflation uncertainty and output growth uncertainty in selected African countries

Author

Listed:
  • Arcade Ndoricimpa

    (Department of Economics, University of Dar Es Salaam, Tanzania)

Abstract

The study examines the causal relationship between inflation uncertainty and output growth uncertainty for selected African countries. Asymmetric BEKK GARCH-M model is used to derive measures of uncertainty for inflation and output growth, and bootstrap causality testing approach is used to examine the causal links between them. The findings suggest that Logue and Sweeney (1981) hypothesis and Devereux (1989) hypothesis are supported for Algeria and South Africa; a trade-off hypothesis of Taylor (1981) and Fuhrer (1997) is supported for Gabon, Libya and Tunisia; no causality whatsoever is found for Congo Republic and Nigeria, while for Libya and Tunisia, inflation uncertainty does not affect output growth uncertainty. Further studies are needed to shed more light on the relationship between these important macroeconomic variables for African countries which are still under-researched.

Suggested Citation

  • Arcade Ndoricimpa, 2014. "Bootstrap causality between inflation uncertainty and output growth uncertainty in selected African countries," Economics Bulletin, AccessEcon, vol. 34(4), pages 2151-2164.
  • Handle: RePEc:ebl:ecbull:eb-14-00870
    as

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    References listed on IDEAS

    as
    1. Scott Hacker & Abdulnasser Hatemi‐J, 2012. "A bootstrap test for causality with endogenous lag length choice: theory and application in finance," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 39(2), pages 144-160, May.
    2. repec:awi:wpaper:0475 is not listed on IDEAS
    3. Logue, Dennis E & Sweeney, Richard James, 1981. "Inflation and Real Growth: Some Empirical Results: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(4), pages 497-501, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Inflation Uncertainty; Output Growth Uncertainty; Bootstrap Causality; Africa;
    All these keywords.

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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