We study the effects of growth volatility and inflation volatility on average rates of output gro... more We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude. 1 emphasizes the importance of empirical studies of this relationship given the as yet unresolved debate concerning the costs of inflation.
Recent research documents the importance of uncertainty in determining macroeconomic outcomes, bu... more Recent research documents the importance of uncertainty in determining macroeconomic outcomes, but little is known about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation and output growth to shocks documenting statistically significant size and sign bias and spillover effects. Uncertainty about inflation is a determinant of output uncertainty, whilst higher growth volatility tends to raise inflation volatility. Both inflation and growth volatility respond asymmetrically to positive and negative shocks. Negative growth and inflation shocks lead to higher and more persistent uncertainty than shocks of equal magnitude but opposite sign.
... and quantification of sign and phase asymmetry bear some relation to the long tradition of pa... more ... and quantification of sign and phase asymmetry bear some relation to the long tradition of papers that study patterns and magnitudes of variations in the mean and volatility of stock returns over the course of the business cycle (Perez-Quiros and Timmermann ,2000 inter alia). ...
Recent research documents the importance of uncertainty in determining macroeconomic outcomes, bu... more Recent research documents the importance of uncertainty in determining macroeconomic outcomes, but little is known about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation and output growth to shocks documenting statistically significant size and sign bias and spillover effects. Uncertainty about inflation is a determinant of output uncertainty, whilst higher growth volatility tends to raise inflation volatility. Both inflation and growth volatility respond asymmetrically to positive and negative shocks. Negative growth and inflation shocks lead to higher and more persistent uncertainty than shocks of equal magnitude but opposite sign.
... and quantification of sign and phase asymmetry bear some relation to the long tradition of pa... more ... and quantification of sign and phase asymmetry bear some relation to the long tradition of papers that study patterns and magnitudes of variations in the mean and volatility of stock returns over the course of the business cycle (Perez-Quiros and Timmermann ,2000 inter alia). ...
This study seeks to distinguish between non-stationarity and non-linearity in quarterly US, Japan... more This study seeks to distinguish between non-stationarity and non-linearity in quarterly US, Japanese and UK inflation. The evidence suggests that inflation in the UK and Japan is well described as a two-regime threshold unit root process. Shocks to inflation are highly persistent in one regime, but have finite lives in the other regime. For the USA the threshold is not significant and shocks to inflation appear to be infinitely persistent. A small-scale Monte-Carlo experiment highlights the poor finite sample performance of popular unit root and stationarity tests in the face of neglected thresholds.
We study the effects of growth volatility and inflation volatility on average rates of output gro... more We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude. 1 emphasizes the importance of empirical studies of this relationship given the as yet unresolved debate concerning the costs of inflation.
We study the effects of growth volatility and inflation volatility on average rates of output gro... more We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude. 1 emphasizes the importance of empirical studies of this relationship given the as yet unresolved debate concerning the costs of inflation.
Recent research documents the importance of uncertainty in determining macroeconomic outcomes, bu... more Recent research documents the importance of uncertainty in determining macroeconomic outcomes, but little is known about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation and output growth to shocks documenting statistically significant size and sign bias and spillover effects. Uncertainty about inflation is a determinant of output uncertainty, whilst higher growth volatility tends to raise inflation volatility. Both inflation and growth volatility respond asymmetrically to positive and negative shocks. Negative growth and inflation shocks lead to higher and more persistent uncertainty than shocks of equal magnitude but opposite sign.
... and quantification of sign and phase asymmetry bear some relation to the long tradition of pa... more ... and quantification of sign and phase asymmetry bear some relation to the long tradition of papers that study patterns and magnitudes of variations in the mean and volatility of stock returns over the course of the business cycle (Perez-Quiros and Timmermann ,2000 inter alia). ...
Recent research documents the importance of uncertainty in determining macroeconomic outcomes, bu... more Recent research documents the importance of uncertainty in determining macroeconomic outcomes, but little is known about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation and output growth to shocks documenting statistically significant size and sign bias and spillover effects. Uncertainty about inflation is a determinant of output uncertainty, whilst higher growth volatility tends to raise inflation volatility. Both inflation and growth volatility respond asymmetrically to positive and negative shocks. Negative growth and inflation shocks lead to higher and more persistent uncertainty than shocks of equal magnitude but opposite sign.
... and quantification of sign and phase asymmetry bear some relation to the long tradition of pa... more ... and quantification of sign and phase asymmetry bear some relation to the long tradition of papers that study patterns and magnitudes of variations in the mean and volatility of stock returns over the course of the business cycle (Perez-Quiros and Timmermann ,2000 inter alia). ...
This study seeks to distinguish between non-stationarity and non-linearity in quarterly US, Japan... more This study seeks to distinguish between non-stationarity and non-linearity in quarterly US, Japanese and UK inflation. The evidence suggests that inflation in the UK and Japan is well described as a two-regime threshold unit root process. Shocks to inflation are highly persistent in one regime, but have finite lives in the other regime. For the USA the threshold is not significant and shocks to inflation appear to be infinitely persistent. A small-scale Monte-Carlo experiment highlights the poor finite sample performance of popular unit root and stationarity tests in the face of neglected thresholds.
We study the effects of growth volatility and inflation volatility on average rates of output gro... more We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased growth uncertainty is associated with significantly lower average growth, while higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation. Both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude. 1 emphasizes the importance of empirical studies of this relationship given the as yet unresolved debate concerning the costs of inflation.
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Papers by Ólan Henry