A. Ndoricimpa APPLIED ECONOMETRICS / ПРИКЛАДНАЯ ЭКОНОМЕТРИКА Прикладная эконометрика, 2015, 39 (3), с. 5–17. <...> A. Ndoricimpa1 Inflation, output growth and their uncertainties in South Africa: Empirical evidence from an asymmetric multivariate GARCH-M model The study examines the relationships between inflation uncertainty and output growth uncertainty, and analyzes their effects on the level of inflation and output growth in South Africa. <...> An asymmetric multivariate GARCH-M model suggested by Grier et al. (2004) is applied. <...> The findings further reveal that Cukierman and Meltzer (1986) hypothesis of a positive impact of inflation uncertainty on the level of inflation is supported, and there exists a negative impact of output growth uncertainty on inflation. <...> The findings imply that output growth and its uncertainty should not be treated separately as it is usually suggested by business cycle models. <...> Although Ball (1992) supports his idea on the link between inflation and its uncertainty, Cukierman and Meltzer (1986) and Holland (1995) explored the possibility of a reverse causality. <...> Cukierman and Meltzer (1986) argue that an increase in inflation uncertainty leads to an increase in the level of inflation as policymakers create surprise inflation to stimulate output. <...> Holland (1995) in his stabilization hypothesis points out that an increase in inflation uncertainty leads to a decrease in inflation as policymakers reduce the growth rate of money (hence lowering inflation) to attenuate the effects of inflation uncertainty on the economy. <...> Considering the impact of inflation uncertainty on growth, contrary to Friedman (1977), I Dotsey and Sarte (2000) suggest a positive impact of inflation uncertainty on output growth. <...> Macroeconomics Макроэкономика 5 2015, 39 (3) 2015, 39 (3) ПРИКЛАДНАЯ ЭКОНОМЕТРИКА / APPLIED ECONOMETRICS the return to money balances more uncertain and leads to a fall in the demand for real money balances and consumption. <...> While Friedman (1968) argues that there is an independence relationship between the two, Black (1987) and Blackburn (1999) suggest a positive impact of output growth uncertainty on output growth by arguing that high volatility will lead to an increase in savings through precautionary motives which in turn result in an increase in investments. <...> Pindyck (1991) and Ramey and Ramey (1991) on the other hand suggest a negative impact of output growth uncertainty on output <...>