학술저널
A Bivariate ARFIMA-IGARCH-M Modelling of the Effects of Uncertainty on Inflation and Output Growth
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 15 No.1
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2002.0379 - 99 (20 pages)
- 9
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The main contribution of this paper is to use bivariate ARFIMA-IGARCH-M methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the Korean economy from 1970 to 2002. According to sample types, empirical results show different effects of uncertainty on inflation and growth. Using the producer prices and wholesale prices index, we support all hypotheses considered except Friedman's and reject the Cukierman and Meltzer hypothesis only using consumer prices index.
Abstract
Ⅰ. Introduction
Ⅱ. Data Analysis
Ⅲ. Statistical Model of Inflation and Output Growth
Ⅳ. Empirical Analysis
Ⅴ. Conclusion
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