چکیده:
This article examines the relationship between inflation and inflation-uncertainty in Iranian economy for the period 1369:1 to 1385:3 .The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Analysis of this study is based on the generalized autoregressive conditional heteroscedasticity (which allow the conditional variance of the error term to be time-varying). Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as an evidence that inflation uncertainty increases with the level of inflation.Our findings indicate that inflation causes inflation uncertainty as there is a significant positive relationship between inflation and inflation uncertainty. According to this result the role of Central Bank of Iran is so crucial in reducing inflation uncertainty by conducting proper policies.
خلاصه ماشینی:
"Analysis of this study is based on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying.
With an unbiased forecast of the inflation rate, the variance of the forecast errors indicates the importance of the random component and can be considered as an estimate of the level of inflation uncertainty.
An exogenous increase in the variance of monetary control errors, which raises the variance of inflation, provides the policymaker with an incentive to create an inflation surprise to stimulate real activity leading to a positive correlation between uncertainty and average inflation.
Table1: Previous research on the relationships between Inflation rate and Inflation uncertainty Countries Studies Time periods Major Findings Okun (1971) 17 industrialized OECD countries 1951-1968 High correlation between the average annual percentage increase in the GNP deflator and the standard deviation of annual rates.
Engle(1983) United States 1947-1979 Inflation does not affect squared value of estimated forecast errors.
(1-1 (1-2 In order to assess the Granger causality test within the component GARCH specification, we estimate the following equation: (1-3 (1-4 10- An overview of Iran inflation data In our Estimates, we used the monthly consumer price index inflation (for the period 1369:1 to 1385:3) taken from the Central Bank of Iran.
D. of annual inflation rate 11- Estimation of model This section is to investigations the time series properties of the data using the augmented Dickey Fuller(ADF)test.
"Estimates of the Variance of US Inflation Based on the ARCH Model" Journal of Money, Credit and Banking, 15."