Asafo-Adjei Emmanuel, Qabhobho Thobekile, Adam Anokye M
Department of Economics, Faculty of Business and Economic Sciences, Nelson Mandela University, Port Elizabeth, South Africa.
Department of Finance, School of Business, University of Cape Coast, Cape Coast Ghana.
Heliyon. 2023 Aug 31;9(9):e19570. doi: 10.1016/j.heliyon.2023.e19570. eCollection 2023 Sep.
World economies have experienced rise in uncertainties which has caused misalignments in the already existing nexus between inflation and economic growth. In addition to this, the presence of nonlinearities, asymmetry, heterogeneity, and structural shocks in time series data concerning substantial fluctuations that span systemic crises have rendered time and/or frequency connectedness worthy of investigation. Due to limited studies in this regard, the authors investigated the risk synchronisation among Gross Domestic Product (GDP), Consumer Price Index (CPI), Economic Policy Uncertainty (EPU) and Geopolitical Risk with insights from G8 countries. To achieve the study's purpose, estimation techniques employed included the wavelet approaches (bi-wavelet and partial wavelet), and the wavelet multiple as well as the DCC-GARCH Connectedness approach as robustness. A sample period from January 1997 to August 2021 restricted by consistent data availability was considered. It was discovered that most G8 nations have a comparable relationship between their GDP and CPI. Additionally, significant co-movements between the G8 nations' GDP and CPI straddle crises. Furthermore, the relationship between Russia's GDP and CPI was significantly conditionally influenced by geopolitical risk factors. Own country economic policy uncertainty was the main source of shocks for nations like Canada, France, and the US, whereas, in Germany, Italy, and the UK, Global EPU was a crucial conduit for reducing the lead-lag relationship between GDP and CPI. Outcomes from this study imply that uncertainties pose a more persistent and dynamic challenge to the G8 countries' efforts to achieve sustained economic growth, lessen the negative effects of inflation and deflation, and improve national and regional economic integration.
世界经济经历了不确定性的上升，这导致了通胀与经济增长之间已有的联系出现失调。除此之外，在涉及跨越系统性危机的大幅波动的时间序列数据中存在非线性、不对称性、异质性和结构性冲击，这使得时间和/或频率连通性值得研究。由于这方面的研究有限，作者从八国集团国家的角度研究了国内生产总值（GDP）、消费者物价指数（CPI）、经济政策不确定性（EPU）和地缘政治风险之间的风险同步性。为实现该研究目的，所采用的估计技术包括小波方法（双小波和偏小波）、小波多元方法以及作为稳健性检验的DCC-GARCH连通性方法。考虑了1997年1月至2021年8月受数据可得性一致限制的样本期。研究发现，大多数八国集团国家的GDP和CPI之间存在类似的关系。此外，八国集团国家的GDP和CPI之间的显著共同变动跨越了危机。此外，俄罗斯的GDP和CPI之间的关系在很大程度上受到地缘政治风险因素的条件影响。本国经济政策不确定性是加拿大、法国和美国等国冲击的主要来源，而在德国、意大利和英国，全球经济政策不确定性是减少GDP和CPI之间领先-滞后关系的关键渠道。这项研究的结果表明，不确定性给八国集团国家实现持续经济增长、减轻通胀和通缩的负面影响以及改善国家和地区经济一体化的努力带来了更持久和动态的挑战。
