مطالب مرتبط با کلیدواژه

GARCH-M models


۱.

Revisiting the Effects of Growth Uncertainty on Inflation in Iran:An Application of GARCH-in-Mean Models(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Iran Growth Uncertainty Inflation GARCH-M models

حوزه های تخصصی:
تعداد بازدید : ۱۳۲۴ تعداد دانلود : ۷۸۷
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.
۲.

Revisiting the Effects of Growth Uncertainty on Inflation in Iran:An Application of GARCH-in-Mean Models(مقاله علمی وزارت علوم)

کلیدواژه‌ها: Iran Growth Uncertainty Inflation GARCH-M models

حوزه های تخصصی:
تعداد بازدید : ۱۲۱۲ تعداد دانلود : ۵۵۲
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.