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The Relationship between Inflation and its Uncertainty: Evidence from Jordan

Author

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  • Izz Eddien N. Ananzeh

    (Faculty of Administrative and Financial Sciences, Philadelphia University, Jordan)

Abstract

There are many harmful impacts of inflation and inflation volatility in any economy, which includes increasing the risk premium, costs of hedging, and consequently leads to re-distribution of national income between strata of society unfairly. Therefore, this study came to test the relationship between inflation and inflation uncertainty for Jordan from 1976 to 2013. For that purpose we employing two different methodologies generalized autoregressive conditional heteroscedasticity (GARCH) process, and the granger causality technique. The results of the GARCH model support the hypothesis of Friedman and Ball through Indicating strong support for the presence of a positive relationship between the inflation rate and its uncertainty. The Granger causality results report supporting hypothesis of Cukierman and Meltzer in 1986, and also Granger causality test running in the both ways.

Suggested Citation

  • Izz Eddien N. Ananzeh, 2015. "The Relationship between Inflation and its Uncertainty: Evidence from Jordan," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 929-932.
    • Handle: RePEc:eco:journ1:2015-04-12
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    References listed on IDEAS

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    Cited by:

    1. Tsvetomir Tsvetkov & Sonya Georgieva, 2022. "Inflation, Inflation Instability and Nominal Uncertainty in Bulgarian Economy," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 41-64.
    2. Tariq A.H. Al-Zuhd & Mohammad H. Saleh, 2017. "Inflation and Inflation Uncertainty Nexus in Kuwait: A GARCH Modeling Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 198-203.

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    More about this item

    Keywords

    Generalized Autoregressive Conditional Heteroscedasticity Model; Granger Causality Test; Inflation; Inflation Uncertainty;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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