The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence
使用GARCH-M方法检验1948-1996年美国数据，发现通胀不确定性显著降低实际产出增长，但未发现通胀或产出增长不确定性推高通胀率的证据。
In this paper we use GARCH-M methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the United States from 1948 to 1996. We find no evidence that higher inflation uncertainty or higher output growth uncertainty raises the average inflation rate. We also find no support for the idea that more risky output growth is associated with a higher average real growth rate. Our key result is that in a variety of models and sample periods, inflation uncertainty significantly lowers real output growth. Copyright © 2000 John Wiley & Sons, Ltd.