We use a very general bivariate generalized autoregressive conditional heteroskedasticity-in-mean model and G7 monthly data covering the 1957-2003 period to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth. Our evidence supports a number of...

We examine the empirical relationship between output variability and output growth using quarterly data for the 1961-2000 period for the Japanese economy. Using three different specifications of GARCH models, namely, Bollerslev's model, Taylor/Schwert's model, and Nelson's EGARCH model, we...