Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling

The Relation Between Inflation and Inflation Uncertainty In Iran

A GARCH Model of Inflation and Inflation Uncertainty in Iran

The paper investigates the relationship between inflation and inflation uncertainty using the Iranian data over the period 1959:03 – 2008:02. GARCH models are used to examine this relationship. Granger methods are employed to provide statistical evidence for the relationship between average inflation and inflation uncertainty. Threshold GARCH (TGARCH) models are considered to investigate asymme...

Relationship between Inflation and Inflation Uncertainty in Iran: An Application of SETAR-GARCH Model

The purpose of this paper is to investigate the relationship between the inflation and inflation uncertainty in Iran. Using mixed models of self-exciting threshold autoregressive (SETAR) and generalized autoregressive conditional heteroskedasticity (GARCH), the inflation behaviors are examined for the period 1990M05-2013M10. This approach allows testing the hypotheses of Friedman-Ball, Pourgera...

Inflation and Inflation Uncertainty Revisited: Evidence from Egypt

The welfare costs of inflation and inflation uncertainty are well documented in the literature and empirical evidence on the link between the two is sparse in the case of Egypt. This paper investigates the causal relationship between inflation and inflation uncertainty in Egypt using monthly time series data during the period January 1974–April 2015. To endogenously control for any potential st...

Targeting Inflation : The United Kingdom in Retrospect

had involuntarily exited from its fixed exchange rate regime and had experienced a sharp currency depreciation as a result. The macroeconomic background was one of high and rising inflation expectations but a contracting real economy. The initial conditions for inflation targeting were not, therefore, particularly propitious. Despite this unfavorable backdrop, the United Kingdom’s experience wi...