Inflation, inflation uncertainty and output in Tunisia
AbstractThis study investigates the relationship between inflation, inflation uncertainty and output in Tunisia using real and nominal data. GARCH-in-mean model with lagged variance equation is employed for the analysis. The result shows that inflation uncertainty has a positive and significant effect on the level of inflation only in the real term. Moreover, inflation uncertainty Granger-causes inflation and economic growth respectively. These results have important implications for the monetary policy in Tunisia. --
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Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number 2013-1.
Date of creation: 2013
Date of revision:
GARCH-M model; inflation; inflation uncertainty; output;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-26 (All new papers)
- NEP-ARA-2013-01-26 (MENA - Middle East & North Africa)
- NEP-CBA-2013-01-26 (Central Banking)
- NEP-FDG-2013-01-26 (Financial Development & Growth)
- NEP-MAC-2013-01-26 (Macroeconomics)
- NEP-MON-2013-01-26 (Monetary Economics)
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