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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado: 3 registros
| Registro 1 de 3 | |
| Autor: | Balcilar, Mehmet - Gupta, Rangan - Jooste, Charl |
| Título: | The growth-inflation nexus for the U.S. from 1801 to 2013: a semiparametric approach |
| Fuente: | Journal of Applied Economics. v.20, n.1. Universidad del CEMA |
| Páginas: | pp. 105-120 |
| Año: | May 2017 |
| Resumen: | We study the existence of a threshold level of inflation for the U.S. economy over 1801- 2013, beyond which it has a negative effect on economic growth. A combination of nonparametric (NP) and instrumental variable semiparametric (SNP-IV) methods obtain inflation thresholds for the United States. The results suggest that the relationship between growth and inflation is hump shaped -that higher levels of inflation reduce growth more compared to low inflation or deflation. The strongest result to emerge from the study consistently shows that inflation above two per cent negatively affects growth. Two additional parametric methods confirm this finding. Another important result is that high or very low levels of inflation are undesirable and are associated with lower growth - hinting that a growth maximizing value of inflation exists. |
| Palabras clave: | INFLACION | CRECIMIENTO ECONOMICO | METODOS PARAMETRICOS | METODOS NO PARAMETRICOS | |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 3 | |
| Autor: | Ajmi, Ahdi Noomen - Aye, Goodness C. - Balcilar, Mehmet - El Montasser, Ghassen - Gupta, Rangan - |
| Título: | Causality between US economic policy and equity market uncertainties: Evidence from linear and nonlinear tests |
| Fuente: | Journal of Applied Economics. v.18, n.2. Universidad del CEMA |
| Páginas: | pp. 225-246 |
| Año: | Nov. 2015 |
| Resumen: | This paper examines the causal relationship between economic policy uncertainty (EPU) and equity market uncertainty (EMU) in the US. We use daily data on the newly developed indexes by Baker et al. (2013a) covering 1985:01:01 to 2013:06:14. Results from the linear causality tests indicate strong bidirectional causality. However, the parameters stability tests show strong evidence of short-run parameter instability, thus invalidating any conclusion from the full sample linear estimations. Therefore we turn to nonlinear tests and observe a stronger predictive power from EMU to EPU than from EPU to EMU. Using sub-sample bootstrap rolling window causality tests to fully account for the existence of structural breaks, we find evidence that EPU can help predict the movements in EMU only around 1993, 2004 and, 2006. However, we find strong evidence that EMU can help predict the movements in EPU throughout the sample period barring around 1998, 2003 and 2005. |
| Palabras clave: | POLITICA ECONOMICA | EQUIDAD | MERCADO | |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 3 de 3 | |
| Autor: | Balcilar, Mehmet - Ozdemir, Zeynel Abidin - Cakan, Esin |
| Título: | On the nonlinear causality between inflation and inflation uncertainty in the G3 countries |
| Fuente: | Journal of Applied Economics. v.14, n.2. Universidad del CEMA |
| Páginas: | pp. 269-296 |
| Año: | Nov. 2011 |
| Resumen: | This study examines the dynamic relationship between monthly inflation and inflation uncertainty in Japan, the US and the UK by employing linear and nonlinear Granger causality tests for the 1957:01-2006:10 period. Using a generalised autoregressive conditional heteroskedasticity (GARCH) model to generate a measure of inflation uncertainty, the empirical evidence from the linear and nonlinear Granger causality tests indicate a bidirectional causality between the series. The estimates from both the linear vector autoregressive (VAR) and nonparametric regression models show that higher inflation rates lead to greater inflation uncertainty for all countries as predicted by Friedman (1977). Although VAR estimates imply no significant impact, except for Japan, nonparametric estimates show that inflation uncertainty raises average inflation in all countries, as suggested by Cukierman and Meltzer (1986). Thus, inflation and inflation uncertainty have a positive predictive content for each other, supporting the Friedman and Cukierman-Meltzer hypotheses, respectively. |
| Palabras clave: | INFLACION | INCERTIDUMBRE | MODELOS LINEALES | |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
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