The Asymmetric Effects of Uncertainty on Inflation and Output Growth

By Kalvinder K. Shields, K. Grier, Ó. Henry, N. Olekalns. 2004

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On the real effects of inflation and inflation uncertainty in Mexico (2006, background): “Grier and Perry (2000) and Grier et al. (2004) both report a negative relation between inflation uncertainty and growth in the US. The multivariate GARCH-M approach has the advantage that one estimates the uncertainty measure and its effects together in a simultaneous model. In addition, since the c”
Economic policy uncertainty and real output: evidence from the G7 countries (2018, background): “There exist some studies – see, for example, Grier et al. (2004) and Foerster (2014) – that explore this issue and find that uncertainty has an asymmetric effect on economic activities.”
Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance (2006, background): “The studies by Grier et al. (2004) and Karanasos et al. (2004) employ US data and find evidence for a negative and positive effect of inflation uncertainty on inflation respectively.”
THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS (2011, methodology): “(1996) and recently used by Grier et al. (2004), based on our bivariate, GARCH-in-mean, asymmetric VAR-BEKK model (5)–(6).”
Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7 (2007, methodology): “Grier and Perry (2000), Grier et al. (2004) and Karanasos et al. (2004) use only US data, whereas the rest of the studies use international data.”