269
Views
1
CrossRef citations to date
0
Altmetric
Articles

Macroeconomic uncertainty, growth and inflation in the Eurozone: a causal approach

, , &

References

  • Ashley, R. A., and K. P. Tsang. 2014. “credible Granger-causality Inference With Modest Sample Lengths: A Cross-sample Validation Approach.” Econometrics 2 (1): 72–91. doi:10.3390/econometrics2010072.
  • Baker, S. R., N. Bloom, and S. J. Davis. 2016. “Measuring Economic Policy Uncertainty.” The Quarterly Journal of Economics 131 (4): 1593–1636. doi:10.1093/qje/qjw024.
  • Conrad, C., and M. Karanasos. 2005. “On the Inflation Uncertainty Hypothesis in the USA, Japan, and the UK: A Dual Long Memory Approach.” Japan and the World Economy 17: 327–343. doi:10.1016/j.japwor.2004.03.002.
  • Cukierman, A., and A. Meltzer. 1986. “A Theory of Ambiguity, Credibility, and Inflation under Discretion and Asymmetric Information.” Econometrica 54: 1099–1128. doi:10.2307/1912324.
  • Friedman, M. 1977. “Nobel Lecture: Inflation and Unemployment.” Journal of Political Economy 85: 451–472. doi:10.1086/260579.
  • Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37: 424–438. doi:10.2307/1912791.
  • Grier, K. B., and M. J. Perry. 2000. “The Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Some GARCH-M Evidence.” Journal of Applied Econometrics 15: 45–58. doi:10.1002/(ISSN)1099-1255.
  • Hartmann, M., and H. Herwartz. 2012. “Causal Relations between Inflation and Inflation uncertainty–Cross Sectional Evidence in Favour of the Friedman–Ball Hypothesis.” Economics Letters 115: 144–147. doi:10.1016/j.econlet.2011.12.036.
  • Hiemstra, C., and J. D. Jones. 1994. “Testing for Linear and Nonlinear Granger Causality in the Stock Price–Volume Relation.” Journal of Finance 49: 1639–1664.
  • Hill, J. B. 2007. “Efficient Tests Of Long-run Causation In Trivariate Var Processes With A Rolling Window Study of The money–income Relationship.” Journal Of Applied Econometrics 22: 747–765. doi:10.1002/(ISSN)1099-1255.
  • Jeong, K., W. K. Härdle, and S. Song. 2012. “A Consistent Nonparametric Test for Causality in Quantile.” Econometric Theory 28 (4): 861–887. doi:10.1017/S0266466611000685.
  • Jurado, K., S. Ludvigson, and S. Ng. 2015. “Measuring Uncertainty.” American Economic Review 105 (3): 1177–1216. doi:10.1257/aer.20131193.
  • Neanidis, K., and C. Savva. 2013. “Macroeconomic Uncertainty, Inflation and Growth: Regime-Dependent Effects in the G7.” Journal of Macroeconomics 35: 81–92. doi:10.1016/j.jmacro.2012.10.005.
  • Rossi, B., and T. Sekhposyan. 2015. “Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions.” American Economic Review 105 (5): 650–655. doi:10.1257/aer.p20151124.
  • Rossi, B., and T. Sekhposyan. 2017. “Macroeconomic Uncertainty Indices for the Euro Area and Its Individual Member Countries.” Empirical Economics 53: 41–62. doi:10.1007/s00181-017-1248-z.
  • Thornton, J. 2007. “The Relationship between Inflation and Inflation Uncertainty in Emerging Market Economies.” Southern Economic Journal 73: 858–870.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.