REVISITING THE EFFECTS OF GROWTH UNCERTAINTY ON INFLATION IN IRAN: AN APPLICATION OF GARCH-IN-MEAN MODELS

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HEIDARI HASSAN; BASHIRI SAHAR

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Journal: International Journal of Business and Development Studies Year:2011 | Volume:3 | Issue:1 Page(s): 123-140

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Title

REVISITING THE EFFECTS OF GROWTH UNCERTAINTY ON INFLATION IN IRAN: AN APPLICATION OF GARCH-IN-MEAN MODELS

Author(s)

HEIDARI HASSAN | BASHIRI SAHAR | Issue Writer Certificate

Keywords

GROWTH UNCERTAINTYQ2

INFLATIONQ2

GARCH-M MODELSQ2

IRANQ2

Abstract

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.

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APA: Copy

HEIDARI, HASSAN, & BASHIRI, SAHAR. (2011). REVISITING THE EFFECTS OF GROWTH UNCERTAINTY ON INFLATION IN IRAN: AN APPLICATION OF GARCH-IN-MEAN MODELS. INTERNATIONAL JOURNAL OF BUSINESS AND DEVELOPMENT STUDIES, 3(1), 123-140. SID. https://sid.ir/paper/213364/en

Vancouver: Copy

HEIDARI HASSAN, BASHIRI SAHAR. REVISITING THE EFFECTS OF GROWTH UNCERTAINTY ON INFLATION IN IRAN: AN APPLICATION OF GARCH-IN-MEAN MODELS. INTERNATIONAL JOURNAL OF BUSINESS AND DEVELOPMENT STUDIES[Internet]. 2011;3(1):123-140. Available from: https://sid.ir/paper/213364/en

IEEE: Copy

HASSAN HEIDARI, and SAHAR BASHIRI, “REVISITING THE EFFECTS OF GROWTH UNCERTAINTY ON INFLATION IN IRAN: AN APPLICATION OF GARCH-IN-MEAN MODELS,” INTERNATIONAL JOURNAL OF BUSINESS AND DEVELOPMENT STUDIES, vol. 3, no. 1, pp. 123–140, 2011, [Online]. Available: https://sid.ir/paper/213364/en

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