| ID | 086589 |
| Title Proper | Understanding the inflation-output nexus for china |
| Language | ENG |
| Author | Narayan, Paresh Kumar ; Narayan, Seema ; Smyth, Russell |
| Publication | 2009. |
| Summary / Abstract (Note) | In this article we examine several hypotheses relating to output and inflation dynamics in China. The hypotheses tests are based on the exponential generalised autoregressive conditional heteroskedasticity (EGARCH) model of Nelson [Nelson, D. (1991). Conditional heteroskedasticity in asset return: A new approach, Econometrica, 59, 347-370]. Our findings suggest that Chinese output-inflation behaviour is consistent with the hypothesis that increased inflation uncertainty lowers average inflation; the hypothesis that inflation volatility reduces economic growth and the hypothesis that higher output volatility increases economic growth. However, we find no support for the hypothesis that higher output volatility increases the average inflation rate. |
| `In' analytical Note | China Economic Review Vol. 20, No. 1; Mar 2009: p.82-90 |
| Journal Source | China Economic Review Vol. 20, No. 1; Mar 2009: p.82-90 |
| Key Words | Output ; Inflation ; EGARCH Model ; China ; Econometrica |