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Inflation,Inflation Volatility VS Output Growth of China: Evidence from Multivariate GARCH Model

Yimin Wu

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Abstract

There exist a complicated relationship among inflation,inflation volatility and output growth and volatility.The paper use the monthly inflation and output data from China,1993-2003,adopting the MGARCH model to test the relationship between inflation,inflation volatility and output growth and volatility.The result indicate that the high inflation leads to more inflation uncertainty, also,high inflation and inflation volatility lead to lower output growth and volatility,the policy implication the price stability objective for the monetary authority.

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What this paper is about

There exist a complicated relationship among inflation,inflation volatility and output growth and volatility.The paper use the monthly inflation and output data from China,1993-2003,adopting the MGARCH model to test the relationship between inflation,inflation volatility and output growth and volatility.The result indicate that the high inflation leads to more inflation uncertainty, also,high inflation and inflation volatility lead to lower output growth and volatility,the policy implication the price stability objective for the monetary authority.

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Available abstract

There exist a complicated relationship among inflation,inflation volatility and output growth and volatility.The paper use the monthly inflation and output data from China,1993-2003,adopting the MGARCH model to test the relationship between inflation,inflation volatility and output growth and volatility.The result indicate that the high inflation leads to more inflation uncertainty, also,high inflation and inflation volatility lead to lower output growth and volatility,the policy implication the price stability objective for the monetary authority.

Key concepts: Economics, Volatility (finance), Economic stability, Forward volatility, Autoregressive conditional heteroskedasticity, Inflation (cosmology), Monetary policy, Volatility swap

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