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

Author

Listed:
  • 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.

Suggested Citation

  • Tolga Omay, 2011. "The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence," Economics Bulletin, AccessEcon, vol. 31(4), pages 3006-3015.
  • Handle: RePEc:ebl:ecbull:eb-11-00530
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P273.pdf
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    References listed on IDEAS

    as
    1. Mübariz Hasanov & Tolga Omay, 2011. "The Relationship Between Inflation, Output Growth, and Their Uncertainties: Evidence from Selected CEE Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 5-20, July.
    2. Blackburn, Keith & Pelloni, Alessandra, 2004. "On the relationship between growth and volatility," Economics Letters, Elsevier, vol. 83(1), pages 123-127, April.
    3. 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.
    4. Omay, Tolga, 2010. "A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia," MPRA Paper 20738, University Library of Munich, Germany.
    5. 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.
    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. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Tolga Omay & Furkan Emirmahmutoğlu, 2017. "The Comparison of Power and Optimization Algorithms on Unit Root Testing with Smooth Transition," Computational Economics, Springer;Society for Computational Economics, vol. 49(4), pages 623-651, April.
    2. Rene Coppe Pimentel & Taufiq Choudhry, 2014. "Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 71-92, January.
    3. repec:eee:riibaf:v:42:y:2017:i:c:p:75-93 is not listed on IDEAS
    4. Nasr, Adnen Ben & Balcilar, Mehmet & Ajmi, Ahdi N. & Aye, Goodness C. & Gupta, Rangan & van Eyden, Reneé, 2015. "Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model," Emerging Markets Review, Elsevier, vol. 24(C), pages 46-68.

    More about this item

    Keywords

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

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E0 - Macroeconomics and Monetary Economics - - General

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