Bredin, Don; Fountas, Stilianos - In: Journal of International Money and Finance 28 (2009) 6, pp. 972-986
We use a very general bivariate GARCH-M model and monthly data on EU countries covering the 1962-2003 period to test for the impact of real (output growth) and nominal (inflation) macroeconomic uncertainty on inflation and output growth. Our evidence supports a number of important conclusions....
