Revisiting the Effects of Growth Uncertainty on Inflation in Iran:An Application of GARCH-in-Mean Models
نویسندگان: ثبت نشده
چکیده مقاله:
This paper investigates the relationship between inflation and growth uncertainty in Iran for the period of 1988-2008 by using quarterly data. We employ Generalized Autoregressive Conditional Heteroscedasticity in Mean (GARCH-M) model to estimate time-varying conditional residual variance of growth, as a standard measures of growth uncertainty. The empirical evidence shows that growth uncertainty affects the level of inflation. This result is in line with Feizi Yengjeh (2010), supporting Deveraux (1989) hypothesis.
منابع مشابه
revisiting the effects of growth uncertainty on inflation in iran:an application of garch-in-mean models
this paper investigates the relationship between inflation and growth uncertainty in iran for the period of 1988-2008 by using quarterly data. we employ generalized autoregressive conditional heteroscedasticity in mean (garch-m) model to estimate time-varying conditional residual variance of growth, as a standard measures of growth uncertainty. the empirical evidence shows that growth uncertain...
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عنوان ژورنال
دوره 3 شماره 1
صفحات 123- 140
تاریخ انتشار 2011-11-01
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