Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/205030 
Year of Publication: 
2019
Series/Report no.: 
AGDI Working Paper No. WP/19/060
Publisher: 
African Governance and Development Institute (AGDI), Yaoundé
Abstract: 
The study applies a BEKK GARCH-M model to examine the effect of uncertainty on the levels of inflation and output growth in Nigeria. The results suggest a significant positive effect of inflation uncertainty on the level of inflation, supporting the Cukierman and Meltzer (1986) hypothesis. In addition, uncertainty about inflation is found to be detrimental to output growth, supporting the Friedman's (1977) hypothesis of a negative effect of inflation uncertainty on output growth. Uncertainty about growth does not have a significant effect on both the levels of inflation and output growth. The evidence in this study suggests that Nigeria should put in place policies minimizing inflation uncertainty to avoid its adverse effects on the economy. In addition, the independence relationship between output growth and its uncertainty in Nigeria suggest that they can be treated separately as suggested by business cycle models.
Subjects: 
Inflation
Inflation Uncertainty
Output
Output Uncertainty
BEKK GARCH-M
JEL: 
C22
E0
Document Type: 
Working Paper

Files in This Item:
File
Size
272.78 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.