THE RELATIONSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY IN THE SHORT- AND LONG-RUN: STATE SPACE MODELS WITH MARKOV REGIME SWITCHING HETEROSKEDASTICITY

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NAJARZADEH REZA; SAHABI BAHRAM; SOLEIMANI SIROUS

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Journal: Iranian Journal of Economic Research Year:2013 | Volume:18 | Issue:54 Page(s): 1-25

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Title

THE RELATIONSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY IN THE SHORT- AND LONG-RUN: STATE SPACE MODELS WITH MARKOV REGIME SWITCHING HETEROSKEDASTICITY

Author(s)

NAJARZADEH REZA | SAHABI BAHRAM | SOLEIMANI SIROUS | Issue Writer Certificate

Keywords

INFLATION UNCERTAINTYQ2

FRIEDMAN-BALL PARADIGMQ2

CUKIERMAN AND MELTZER PARADIGMQ2

HOLLAND PARADIGMQ2

STATE-SPACE MODELSQ2

MARKOV REGIME SWITCHING MODELSQ2

Abstract

In this study by using Markov Regime Heteroscedasticity method (MRSH) In the form of state-space model the relationship between inflation and uncertainty of inflation in Iranian economics is examined. The period of the study is the first quarter of 1367 to the third quarter of 1389. The reaction between inflation and INFLATION UNCERTAINTY is dependent on whether the shocks are temporary or permanent. The MRSH model decomposes inflation to temporary and permanent and this makes the analysis of the relationship between inflation and INFLATION UNCERTAINTY possible in the long as well as short run. The results of the study show that increase in the long run uncertainty leads to increase in long run inflation and increase in short run inflation leads to decrease in short term inflation rate. Furthermore, simultaneous effects of increase in short run and long run INFLATION UNCERTAINTY leads to increase in Iran's inflation trend.

Cites

کاربرد مدل مدهای گذرا در برآورد ارزش بنیادی و موقتی بازده سهام بورس اوراق بهادار تهران: تلفیق رهیافت فضا - حالت و انتقال رژیم مارکف

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APA: Copy

NAJARZADEH, REZA, SAHABI, BAHRAM, & SOLEIMANI, SIROUS. (2013). THE RELATIONSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY IN THE SHORT- AND LONG-RUN: STATE SPACE MODELS WITH MARKOV REGIME SWITCHING HETEROSKEDASTICITY. IRANIAN ECONOMIC RESEARCH, 18(54), 1-25. SID. https://sid.ir/paper/2748/en

Vancouver: Copy

NAJARZADEH REZA, SAHABI BAHRAM, SOLEIMANI SIROUS. THE RELATIONSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY IN THE SHORT- AND LONG-RUN: STATE SPACE MODELS WITH MARKOV REGIME SWITCHING HETEROSKEDASTICITY. IRANIAN ECONOMIC RESEARCH[Internet]. 2013;18(54):1-25. Available from: https://sid.ir/paper/2748/en

IEEE: Copy

REZA NAJARZADEH, BAHRAM SAHABI, and SIROUS SOLEIMANI, “THE RELATIONSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY IN THE SHORT- AND LONG-RUN: STATE SPACE MODELS WITH MARKOV REGIME SWITCHING HETEROSKEDASTICITY,” IRANIAN ECONOMIC RESEARCH, vol. 18, no. 54, pp. 1–25, 2013, [Online]. Available: https://sid.ir/paper/2748/en

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