Dynamic Linkages between Output Growth and Macroeconomic Volatility: Evidence using Greek Data

Abstract

This paper provides empirical evidence regarding the causal links between macroeconomic uncertainty and output growth using Greek data. Uncertainty is considered in distinct components, namely the inflation uncertainty and the output growth uncertainty. The results reveal significant negative causal effects on output growth running from output growth uncertainty as well as from inflation uncertainty indirectly via the inflation rate.

Keywords: Growth, Uncertainty, Cointegration, GARCH, Granger-causality

JEL Classification: C33, C53, O52, E32