Understanding the inflation-output nexus for China

Narayan, P, Narayan, S and Smyth, R 2009, 'Understanding the inflation-output nexus for China', China Economic Review, vol. 20, no. 1, pp. 82-90.

Document type: Journal Article
Collection: Journal Articles

Title Understanding the inflation-output nexus for China
Author(s) Narayan, P
Narayan, S
Smyth, R
Year 2009
Journal name China Economic Review
Volume number 20
Issue number 1
Start page 82
End page 90
Total pages 9
Publisher Elsevier BV, North-Holland
Abstract 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.
Subject International Economics and International Finance
Keyword(s) China
EGARCH model
DOI - identifier 10.1016/j.chieco.2008.10.012
Copyright notice © 2008 Elsevier Inc. All rights reserved.
ISSN 1043-951X
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