Abstract

LANTERI, Luis N.. Inflación y crecimiento. Un modelo de covarianza condicional para la Argentina. El trimestre econ [online]. 2005, vol.72, n.288, pp.823-845.  Epub Feb 07, 2023. ISSN 2448-718X.  https://doi.org/10.20430/ete.v72i288.562.

This paper shows the effects of uncertainty of economic growth and inflation on average rates of output growth and inflation, using quarterly data of Argentina, during the last three decades. The paper employs a GARCH-M model (VARMA model) that permits to test diagonality and symmetry relationships between the variables. The results suggest that increased growth uncertainty is associated with significantly higher average output growth (theory of precautionary savings), while higher inflation uncertainty is correlated with lower average output growth (Okun, 1971, and Friedman, 1977, arguments). Both inflation and economic growth show evidence of significant asymmetric response to positive and negative shocks of equal magnitude.

Keywords : crecimiento; inflación; incertidumbre; asimetría; no diagonalidad; covarianza condicional.

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