Abstract

ROSAS ROJAS, Eduardo. The asymmetric effects of inflation, inflationary uncertainty and economic growth in Mexico. Anál. econ. [online]. 2020, vol.35, n.90, pp.45-66.  Epub Apr 15, 2021. ISSN 2448-6655.

The impact of inflation and its uncertainty on Mexico's economic growth is explored. In addition, the causal relationship between inflation and its nominal uncertainty is investigated. For this, an asymmetric bivariate GARCH constant conditional correlation (CCC) model is estimated, which allows modeling the inflation uncertainty and the uncertainty output in the period from August 1984 to June 2019. These variables are used to test the feedback effect established by the theory, using Granger causality tests with the Toda-Yamamoto approach. The empirical results show that shocks of bad news have a greater impact on inflation and output uncertainty, when compared to impacts of equal magnitude caused by good news. Compliance with the Friedman-Ball hypothesis, the validity of the Holland hypothesis, as well as the presence of a Tobin effect in the Mexican economy are also verified.

Keywords : inflation; inflationary uncertainty; economic growth; asymmetric GARCH models; C32; D81; E31; F43.

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