replication of grier, henry, olekalns and shields (2004): the asymmetric effects of uncertainty on inflation and output growth (replication data)

In their influential work Grier et al.(The asymmetric effects of uncertainty on inflation and output growth. Journal of Applied Econometrics 2004; 19: 551-565) examine the effects of growth and inflation uncertainties on their average rates. The current study replicates their main results and performs a similar analysis on a more recent dataset. Their findings are confirmed to a large extent.