Research Article
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THE LINKAGE BETWEEN OUTPUT GROWTH UNCERTAINTY AND ECONOMIC POLICIES: THE ASYMMETRY EFFECT

Year 2017, ICMEB17 Özel Sayısı, 920 - 927, 01.12.2017

Abstract

Ensuring sustainable development through low-stable inflation is among the fundamental objectives for policy makers. Many attempts are made to determine factors and national policies that affect growth in the long term, allow for higher per capita income and overall wealth levels. In this context, it is important to reveal the effect of output uncertainty on real sector and economic policy variables. In this paper, time-varying interaction between output uncertainity and selected variables has been investigated in the framework of multivariate exponential generalised autoregressive conditional heteroskedasticity models for Turkey to give an insight as a developing country that comes up against crises and structural changes in its economy

References

  • Beaudry, P., Cağlayan, M., &
  • Schiantarelli, F. (2001). Monetary instability, the
  • predictability of prices, and the allocation of investment: An empirical investigation using U.K. panel data.
  • American Economic Review 91, 3,648-662.
  • Black, F. (1987). Business Cycles and Equilibrium. Basil Blackwell, New York.
  • Blackburn, K. (1999). Can stabilisation policy reduce long-run growth?, Economic Journal 109, 452: 67–77.
  • Blackburn, K., & Pelloni, A. (2004). On the relationship between growth and volatility. Economics Letters 83 (1), 123-127
  • Blackburn, K., & Pelloni, A. (2005). “Growth, cycles and stabilization policy. Oxford Economic Papers, 57: 262– 82.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
  • Brunner, A. (1993). Comment on inflation regimes and the sources of inflation uncertainty. Journal of Money, Credit, and Banking 25, 3,512–514.
  • Cecchetti, S., & Ehrmann, M. (1999). Does inflation targeting increase output volatility? an international comparison of policymakers’ preference and outcomes. NBER Working Paper No: 7426.
  • Cukierman, A., & Gerlach, S. (2003). The inflation bias revisited: theory and some international evidence. The Manchester School 71, 5, 541-565.
  • Cukierman, A., & Meltzer, A. H. (1986). A theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica: journal of the econometric society, 54, 1099-1128.
  • Deveraux, M. (1989). A positive theory of inflation and inflation variance. Economic Inquiry, 27, 105116
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation. Econometrica, 50, 987-1007.
  • Fountas, S., & Karanasos, M. (2007). Inflation, output growth, and nominal and real uncertainty: empirical evidence for the G7. Journal of International Money and Finance, 26(2), 229-250.
  • Friedman, M. (1977). Nobel lecture: inflation and unemployment. The Journal of Political Economy, 85, 451-472.
  • Fuhrer, J. (1997). Inflation/output variance trade-offs and optimal monetary policy. Journal of Money, Credit, and Banking 29, 2, 214–234.
  • Hasanov, M., & Omay, T. (2011). The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries. Emerging Markets Finance and Trade, Vol. 47, Supplement 3, 5- 20
  • Holland, S. (1995). Inflation and uncertainty: tests for temporal ordering. Journal of Money, Credit, and Banking, 27, 827837.
  • Jiranyakul, K., & Opiela P. T. (2010). Inflation and inflation uncertainty in the ASEAN-5 economies. Journal of Asian Economics, 21, 105-112.
  • Koutmos, G., & Booth, G. G. (1995) Asymmetric Volatility Transmission in International Stock Markets, Journal of lnternational Money and Finance, 14(6), 747-762.
  • Koutmos, G. (1996). Modeling the Dynamic Interdependence of Major European Stock Markets. Journal of Business Finance & Accounting, 23(7), 975-988.
  • Logue, D., & Sweeney, R. (1981). Inflation and real growth: some empirical results: a note. Journal of Money, Credit, and Banking 13, 497–501.
  • Ndou, E., & Mokoena, T. M. (2011). Inflation, inflation uncertainty, and output growth: Are they related in South Africa. Research Department, South African Reserve Bank.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59(2), 347– 370.
  • Okun, A. M. (1971). The mirage of steady inflation. Brookings Papers on Economic Activity, 1971(2), 485-498.
  • Pindyck, R.S. (1990). Irreversibility, uncertainty, and investment. Journal of Economic Literature, 29, 1110-1148.
  • Sandmo, A. (1970). The effect of uncertainty on saving decisions. Review of Economic Studies 37 (3), 353-360.
  • Solow, R. (1956). A contribution to the theory of economic growth. Quarterly Journal of Economics, 70 (1), 65- 94
  • Taylor, J. (1979). Estimation and control of a macroeconomic model with rational expectations. Econometrica 47, 5, 1267–1286.
  • Ungar, M., & Zilberfarb, B. Z. (1993). Inflation and its unpredictability theory and empirical evidence. Journal of Money, Credit and Banking, 25(4), 709-720.
  • Verbeek, M. (2004). A Guide to Modern Econometrics. 2nd Edition, Sussex: John Wiley & Sons Ltd.

ÇIKTI BÜYÜKLÜĞÜ BELİRSİZLİĞİ VE EKONOMİ POLİTİKALARI ARASINDAKİ BAĞLANTI: ASİMETRİ ETKİSİ

Year 2017, ICMEB17 Özel Sayısı, 920 - 927, 01.12.2017

Abstract

Düşük istikrarlı enflasyon ile sürdürülebilir kalkınmayı sağlamak politika yapıcıların temel amaçları arasında yer almaktadır. Uzun vadede büyümeyi etkileyen, genel refah seviyelerine ve daha yüksek kişi başına düşen gelire imkan sağlayan faktörlerin ve ulusal politikaların belirlenmesine çalışılmaktadır. Bu bağlamda, çıktı belirsizliğinin reel sektör ve ekonomi politikaları değişkenleri üzerinde etkisinin ortaya çıkarılması önemli olmaktadır. Bu makalede, ekonomisinde krizler ve yapısal değişimlere maruz kalan gelişmekte olan ülkeler statüsünde olan Türkiye’de çıktı belirsizliğiyle seçilmiş ekonomik değişkenler arasındaki zaman bağımlı etkileşimi çok değişkenli üssel genelleştirilmiş otoregresif koşullu değişen varyans modeli çerçevesinde incelenmektedir

References

  • Beaudry, P., Cağlayan, M., &
  • Schiantarelli, F. (2001). Monetary instability, the
  • predictability of prices, and the allocation of investment: An empirical investigation using U.K. panel data.
  • American Economic Review 91, 3,648-662.
  • Black, F. (1987). Business Cycles and Equilibrium. Basil Blackwell, New York.
  • Blackburn, K. (1999). Can stabilisation policy reduce long-run growth?, Economic Journal 109, 452: 67–77.
  • Blackburn, K., & Pelloni, A. (2004). On the relationship between growth and volatility. Economics Letters 83 (1), 123-127
  • Blackburn, K., & Pelloni, A. (2005). “Growth, cycles and stabilization policy. Oxford Economic Papers, 57: 262– 82.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
  • Brunner, A. (1993). Comment on inflation regimes and the sources of inflation uncertainty. Journal of Money, Credit, and Banking 25, 3,512–514.
  • Cecchetti, S., & Ehrmann, M. (1999). Does inflation targeting increase output volatility? an international comparison of policymakers’ preference and outcomes. NBER Working Paper No: 7426.
  • Cukierman, A., & Gerlach, S. (2003). The inflation bias revisited: theory and some international evidence. The Manchester School 71, 5, 541-565.
  • Cukierman, A., & Meltzer, A. H. (1986). A theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica: journal of the econometric society, 54, 1099-1128.
  • Deveraux, M. (1989). A positive theory of inflation and inflation variance. Economic Inquiry, 27, 105116
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation. Econometrica, 50, 987-1007.
  • Fountas, S., & Karanasos, M. (2007). Inflation, output growth, and nominal and real uncertainty: empirical evidence for the G7. Journal of International Money and Finance, 26(2), 229-250.
  • Friedman, M. (1977). Nobel lecture: inflation and unemployment. The Journal of Political Economy, 85, 451-472.
  • Fuhrer, J. (1997). Inflation/output variance trade-offs and optimal monetary policy. Journal of Money, Credit, and Banking 29, 2, 214–234.
  • Hasanov, M., & Omay, T. (2011). The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries. Emerging Markets Finance and Trade, Vol. 47, Supplement 3, 5- 20
  • Holland, S. (1995). Inflation and uncertainty: tests for temporal ordering. Journal of Money, Credit, and Banking, 27, 827837.
  • Jiranyakul, K., & Opiela P. T. (2010). Inflation and inflation uncertainty in the ASEAN-5 economies. Journal of Asian Economics, 21, 105-112.
  • Koutmos, G., & Booth, G. G. (1995) Asymmetric Volatility Transmission in International Stock Markets, Journal of lnternational Money and Finance, 14(6), 747-762.
  • Koutmos, G. (1996). Modeling the Dynamic Interdependence of Major European Stock Markets. Journal of Business Finance & Accounting, 23(7), 975-988.
  • Logue, D., & Sweeney, R. (1981). Inflation and real growth: some empirical results: a note. Journal of Money, Credit, and Banking 13, 497–501.
  • Ndou, E., & Mokoena, T. M. (2011). Inflation, inflation uncertainty, and output growth: Are they related in South Africa. Research Department, South African Reserve Bank.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59(2), 347– 370.
  • Okun, A. M. (1971). The mirage of steady inflation. Brookings Papers on Economic Activity, 1971(2), 485-498.
  • Pindyck, R.S. (1990). Irreversibility, uncertainty, and investment. Journal of Economic Literature, 29, 1110-1148.
  • Sandmo, A. (1970). The effect of uncertainty on saving decisions. Review of Economic Studies 37 (3), 353-360.
  • Solow, R. (1956). A contribution to the theory of economic growth. Quarterly Journal of Economics, 70 (1), 65- 94
  • Taylor, J. (1979). Estimation and control of a macroeconomic model with rational expectations. Econometrica 47, 5, 1267–1286.
  • Ungar, M., & Zilberfarb, B. Z. (1993). Inflation and its unpredictability theory and empirical evidence. Journal of Money, Credit and Banking, 25(4), 709-720.
  • Verbeek, M. (2004). A Guide to Modern Econometrics. 2nd Edition, Sussex: John Wiley & Sons Ltd.
There are 33 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Research Article
Authors

Mehmet Kenan Terzioğlu This is me

Publication Date December 1, 2017
Submission Date October 17, 2017
Published in Issue Year 2017 ICMEB17 Özel Sayısı

Cite

APA Terzioğlu, M. K. (2017). ÇIKTI BÜYÜKLÜĞÜ BELİRSİZLİĞİ VE EKONOMİ POLİTİKALARI ARASINDAKİ BAĞLANTI: ASİMETRİ ETKİSİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 13(13), 920-927.