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Dynamic Relationship between Inflation Uncertainty and Private Investment in Iran: An Application of VAR-GARCH-M Model | ||
| International Journal of Business and Development Studies | ||
| مقاله 4، دوره 5، شماره 1، تیر 2013، صفحه 61-76 اصل مقاله (174.11 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22111/ijbds.2013.1499 | ||
| چکیده | ||
| This paper empirically investigates the relationship between CPI inflation uncertainty, and private investment in the Iranian economy from 1988 to 2010 by using quarterly data. We employ a bivariate VAR(5)-GARCH(1,1)-in-mean with diagonal BEKK model to discover in a unified framework how are the interactions between the variables. In the model, conditional variance of inflation and private investment are interpreted as inflation and private investment uncertainties, respectively. Our empirical finding shows that, 1) there are bidirectional mean spillovers between inflation and private investment, 2) private investment uncertainty affects private investment negatively, 3) private investment uncertainty doesn’t affect inflation, 4) inflation uncertainty affects inflation positively, and 5) inflation uncertainty affects private investment negatively, supporting Pindyck (1982, 1988, 1991), Caballero (1991), Ferderer (1993a), Caballero and Pindyck (1996). | ||
| کلیدواژهها | ||
| Inflation Uncertainty؛ Private Investment Uncertainty؛ Bivariate GARCH Model | ||
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آمار تعداد مشاهده مقاله: 2,053 تعداد دریافت فایل اصل مقاله: 3,020 |
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