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Revisiting the Effects of Growth Uncertainty on Inflation in Iran:An Application of GARCH-in-Mean Models | ||
| International Journal of Business and Development Studies | ||
| مقاله 7، دوره 3، شماره 1، اسفند 2011، صفحه 123-140 اصل مقاله (152.98 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22111/ijbds.2011.1297 | ||
| چکیده | ||
| 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. | ||
| کلیدواژهها | ||
| Growth Uncertainty؛ Inflation؛ GARCH-M models؛ Iran | ||
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