The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence
AbstractIn 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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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 31 (2011)
Issue (Month): 4 ()
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Nonlinear multivariate GARCH-M; STVAR-GARCH; inflation; growth; uncertainty;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E0 - Macroeconomics and Monetary Economics - - General
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- Blackburn, Keith & Pelloni, Alessandra, 2004. "On the relationship between growth and volatility," Economics Letters, Elsevier, vol. 83(1), pages 123-127, April.
- Omay, Tolga, 2010. "A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia," MPRA Paper 20738, University Library of Munich, Germany.
- 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.
- 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.
- MÃƒÂ¼bariz Hasanov & Tolga Omay, 2011. "The Relationship Between Inflation, Output Growth, and Their Uncertainties: Evidence from Selected CEE Countries," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(0), pages 5-20, July.
- Hasanov, Mübariz & Omay, Tolga, 2010. "The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries," MPRA Paper 23764, University Library of Munich, Germany.
- 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.
- 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.
- 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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