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فهرست مقالات

Inflation, Growth and their Uncertainties: A Bivariate GARCH Evidence for Iran

نویسنده:

ISC (18 صفحه - از 83 تا 100)

کلیدواژه ها :

Inflation ،causality ،uncertainty ،Granger ،Output growth ،Bivariate GARCH

کلید واژه های ماشینی : Inflation ، GARCH ، A Bivariate GARCH Evidence Iran ، Iran ، Granger ، Inflation , Growth ، Bivariate GARCH Model Inflation Output ، BEKK ، GARCH Model Inflation Output Growth ، Theories Relationship Inflation Growth

Using a bivariate GARCH model, we investigate the causal relationships between inflation, growth, inflation uncertainty (nominal uncertainty) and output uncertainty (real uncertainty) for seasonally adjusted quarterly data in Iran. Our results indicate that increased inflation is associated with higher nominal uncertainty. Further, we found that higher output uncertainty increases both inflation and growth. Increased growth, in turn, is associated with higher real uncertainty. We found no strong evidence in favor of other causal relationships which we have tested. These results support the argument of a price stability objective for the monetary authority. To mitigate the harmful effects of real uncertainty, Iran should take policy measures to withstand adverse domestic and external shocks and lessen their exposure to the volatility.

خلاصه ماشینی:

"Since there is no data for real and nominal uncertainties our estimated model is used to generate the conditional variances of inflation and output growth as proxies of inflation and output growth uncertainty, respectively, and perform Granger-causality tests. Using the well-known Barro– Gordon model, Cukierman and Meltzer show that an increase in uncertainty about money growth and inflation will raise the optimal average inflation rate because it provides an incentive to the policymaker to create an inflation surprise in order to stimulate output growth. Using the Barro–Gordon model, Deveraux(1989) shows that higher output growth uncertainty reduces the optimal amount of wage indexation and induces the policymaker to engineer more inflation surprises in order to obtain favorable real effects. Table 1: Casual relationship between the variables Sign Hypothesis + - + - Inflation causes output growth Mundell-Tobin effect, Bruno and Easterday (1998) Jones and Manuelli (1995),De Gregorio (1993) and Barro (1996) Inflation causes inflation uncertainty Friedman(1977), Ball (1992) Pourgerami and Maskus (1987) - + + - - + + - Inflation uncertainty causes output growth Friedman (1977) Dotsey and Sarte (2000) Inflation uncertainty causes inflation Cukierman and Meltzer (1986) Holland (1995) Inflation uncertainty causes growth uncertainty Taylor (1979) Growth uncertainty causes inflation Deveraux(1989) Growth uncertainty causes output growth Black (1987) Ramey and Ramey (1991) 3- A Bivariate GARCH Model of Inflation and Output Growth We use a bivariate GARCH model to simultaneously estimate the conditional means, variances, and covariances of inflation and output growth which has the following specification: (1) (2) (3) Where and denote the inflation rate and real output growth, respectively."


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