DOES INFLATION UNCERTAINTY VARY WITH THE LEVEL OF INFLATION?

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TASHKINI A.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Journal of Economic Research Year:2006 | Volume:- | Issue:73 Page(s): 193-210

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Information Journal Paper

Title

DOES INFLATION UNCERTAINTY VARY WITH THE LEVEL OF INFLATION?

Author(s)

TASHKINI A. | Issue Writer Certificate

Keywords

INFLATIONQ2

INFLATION UNCERTAINTYQ2

REGIME UNCERTAINTYQ3

RESOURCE ALLOCATIONQ2

GENERALIZED AUTO-REGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH) MODELQ3

Abstract

The purpose of this study is to test the hypothesis that INFLATION uncertainty increase at higher level of INFLATION. Our analysis is based on the generalized conditional heteroscedasticity (GARCH) class of models, 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 evidence that INFLATION uncertainty increase with the level of INFLATION. Our findings indicate that INFLATION causes INFLATION uncertainty (there is a significant positive relationship between INFLATION, and INFLATION uncertainty). According to this result, Central bank of Iran can reduce INFLATION uncertainty by reducing INFLATION.

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APA: Copy

TASHKINI, A.. (2006). DOES INFLATION UNCERTAINTY VARY WITH THE LEVEL OF INFLATION?. TAHGHIGHAT-E-EGHTESADI, -(73), 193-210. SID. https://sid.ir/paper/11591/en

Vancouver: Copy

TASHKINI A.. DOES INFLATION UNCERTAINTY VARY WITH THE LEVEL OF INFLATION?. TAHGHIGHAT-E-EGHTESADI[Internet]. 2006;-(73):193-210. Available from: https://sid.ir/paper/11591/en

IEEE: Copy

A. TASHKINI, “DOES INFLATION UNCERTAINTY VARY WITH THE LEVEL OF INFLATION?,” TAHGHIGHAT-E-EGHTESADI, vol. -, no. 73, pp. 193–210, 2006, [Online]. Available: https://sid.ir/paper/11591/en

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