چکیده:
Decreasing inflation uncertainty, as the major source of welfare costs, requires
finding the driving factors of this variable. Counting inflation as one of the
driving factors of inflation uncertainty has created some concern due to the
ambiguity over the causality between inflation and inflation uncertainty. This
ambiguity has inspired several studies in the literature, which mostly focuses
on testing two separate hypotheses to solve this ambiguity. These hypotheses are
Friedman-Ball hypothesis, which assumes higher inflation leads to higher
inflation uncertainty, and Cukierman-Meltzer hypothesis, which claims the
reverse. After testing for Friedman-Ball and Cukierman-Meltzer hypotheses in
Iranian economy, with applying TGARCH and EGARCH models, this study reveals that
EGARCH model supports the asymmetry in error terms distribution of Iranian data
and accepts both hypotheses. However, results based on TGARCH approach do not
support the asymmetry in error terms distribution, which implies TGARCH model is
not reliable for Iranian data.
خلاصه ماشینی:
"After testing for Friedman-Ball and Cukierman-Meltzer hypotheses in Iranian economy, with applying TGARCH and EGARCH models, this study reveals that EGARCH model supports the asymmetry in error terms distribution of Iranian data and accepts both hypotheses.
Conventional ARCH (p) and GARCH (p,q) models for testing C-M hypothesis are given in equations (4)-(6), and if γ 2 is significant, C-M hypothesis is accepted:[1] πt =μ + γ1πt-1 + …+ γnπt-n+ γ 2σt2 +εt (4) σt2 = α0+α1εt-12+…+ αpεt-p2 (5) σt2 = α0+α1εt-12+…+ αpεt-p2+β1σt-12+ β 2σt-22+…+ β qσt-q2 (6) Grier and perry (1998) employed the conventional GARCH model for both F-B and C-M hypotheses, and found that in all G7 countries[2] over the period of 1948-1993, inflation caused inflation uncertainty.
5- Conclusion This paper has analyzed the relation between inflation, measured by the Iranian Consumer Price Index, and inflation uncertainty, measured by the conditional variance of different asymmetric ARCH-GARCH models.
Appendix: Table 1 Researcher Sample Model Major finding and other explanation Okun (1971) Seventeen industrial countries from OECD 1951-1968 He uses unconditional variance of observed inflation as uncertainty and then compares it with inflation rate He finds a high positive correlation between the average rate of inflation and its variability but his homogeneity assumption both across countries and within countries makes his result questionable."