ABSTRACT

This paper investigates how inflation and its uncertainty impact GDP growth in eight Central and Eastern European Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different distribution functions, while the nonlinear effect of inflation and its uncertainty on GDP growth is assessed in the Bayesian quantile regression framework. We find that inflation has significantly smaller negative effect on GDP growth than inflation uncertainty, which confirms the Friedman hypothesis. This means that inflation in the selected countries has an indirect impact on GDP growth via inflation uncertainty. We find that countries with smaller economy, such as Latvia and Estonia experience more adverse effect from inflation uncertainty in both upturn and downturn conditions, probably because they are vulnerable to external inflationary shocks. As for the countries with bigger economy, inflation uncertainty shocks diminish GDP growth only in conditions when output growth is very low or negative.

摘要

本文研究了通胀及其不确定性如何影响八个中东欧国家的GDP增长。建立了通货膨胀不确定性序列，并结合三个不同的分布函数研究了多个GARCH模型，同时在贝叶斯分位数回归框架中评估了通货膨胀及其不确定性对GDP增长的非线性影响。我们发现，通货膨胀对GDP增长的负面影响要比通货膨胀不确定性小得多，这证实了弗里德曼的假设。这意味着选定国家的通货膨胀会因通货膨胀不确定性而对GDP增长产生间接影响。我们发现，拉脱维亚和爱沙尼亚等经济规模较小的国家在经济增长和衰退条件下都受到通胀不确定性的不利影响，可能是因为它们容易受到外部通胀冲击的影响。对于经济规模较大的国家，只有在产出增长非常低或为负的情况下，通胀不确定性才会使GDP增长下降。