"Inflación, Incertidumbre Inflacionaria y Crecimiento Económico en México: 1929-2009 "

Abstract

In this paper we study the relationships between inflation and economic growth an between inflation and inflation uncertainty, by means of a two econometric models: a VAR(1) for the economic growth and inflation variables, and a GARCH in mean model to estimate the nominal uncertainty and its impact on inflation, in both cases the analysis is carried out with Mexican annual data for the 1929-2009 period. The VAR’s model evidence suggests that the Granger causality directionbetween inflation and economic growth goes from the former to the last. At the other hand, the GARCH models results show evidence that inflation uncertainty has a negative effect on inflation, tending to validate the Holland (1995) hypothesis, which states that as a response to a greater inflation uncertainty, and as a consequence of the fear of possible real effects of such uncertainty, the central banks can intent to offset that uncertainty shrinking the money offer. Also, we find evidence of a inflation “level effect” into the inflationary uncertainty.