The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence
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.
Volume (Year): 31 (2011)
Issue (Month): 4 ()
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Hacettepe University Department of Economics Working Papers
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