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The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence

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  • Tolga Omay

    ()
    (Cankaya University, Department of Economics)

Abstract

In this paper, we propose a nonlinear multivariate GARCH-M model. We have illustrated the actual modelling by applying the models to inflation and output growth variables and found that the effects of real and nominal uncertainties are regime-dependent.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P273.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 4 ()
Pages: 3006-3015

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Handle: RePEc:ebl:ecbull:eb-11-00530

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Keywords: Nonlinear multivariate GARCH-M; STVAR-GARCH; inflation; growth; uncertainty;

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References

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  1. Blackburn, Keith & Pelloni, Alessandra, 2004. "On the relationship between growth and volatility," Economics Letters, Elsevier, vol. 83(1), pages 123-127, April.
  2. Omay, Tolga, 2010. "A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia," MPRA Paper 20738, University Library of Munich, Germany.
  3. Bahar Araz-Takay & K. Peren Arin & Tolga Omay, 2009. "The Endogenous And Non-Linear Relationship Between Terrorism And Economic Performance: Turkish Evidence," Defence and Peace Economics, Taylor & Francis Journals, vol. 20(1), pages 1-10.
  4. Mubariz Hasanov & Tolga Omay, 2012. "The Relationship between Inflation, output growth, and their Uncertainties: Evidence from selected CEE countries," Hacettepe University Department of Economics Working Papers 20128, Hacettepe University, Department of Economics.
  5. Kevin B. Grier & Mark J. Perry, 2000. "The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 45-58.
  6. Felix Chan & Michael McAleer, 2002. "Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 509-534.
  7. Tolga Omay & Mubariz Hasanov, 2010. "The effects of inflation uncertainty on interest rates: a nonlinear approach," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 2941-2955.
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