The Friedman's and Mishkin's Hypotheses (Re)Considered

Christian Bordes (1) , Samuel Maveyraud (2)

1 CES - Centre d'économie de la Sorbonne
2 GREThA - Groupe de Recherche en Economie Théorique et Appliquée

This paper o¤ers to investigate both the Friedman's and Mishkin's hypotheses on the consequences of inflation on output growth. To this end, we first base these hypotheses in a unified framework. Second, in an empirical work based on OECD countries, we distinguish between short-medium and long run and between headline and core inflation. We get two main results. First, nominal uncertainty and inflation are positively linked. Second, headline inflation negatively Granger causes out- put gap (US, Japan, France) but has no effect on potential output growth (US excepted) whereas core inflation impacts potential output growth (UK, Germany) but not output gap (US excepted).

Mots clés: Inflation; uncertainty; output growth; GARCH; CF filter

Domaines: Economies et finances

Christian Bordes, Samuel Maveyraud. The Friedman's and Mishkin's Hypotheses (Re)Considered. 2008. ⟨hal-00308571⟩