Inflation, growth and real and nominal uncertainty: some bivariate Garch-in-Mean evidence for Brazil

Revisiting the Effects of Growth Uncertainty on Inflation in Iran:An Application of GARCH-in-Mean Models

This paper investigates the relationship between inflation and growth uncertainty in Iran for the period of 1988-2008 by using quarterly data. We employ Generalized Autoregressive Conditional Heteroscedasticity in Mean (GARCH-M) model to estimate time-varying conditional residual variance of growth, as a standard measures of growth uncertainty. The empirical evidence shows that growth uncertain...

inflation, growth and thier uncertainties: a bivariate garch evidence for iran

Inflation and Inflation Uncertainty in Iran: An Application of GARCH-in-Mean Model with FIML Method of Estimation

This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the Iranian economy. The results of a two-step procedure such as Granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation. However...

Inflation, Growth And Their Uncertainties: A Bi-variate GARCH Evidence for Iran

revisiting the effects of growth uncertainty on inflation in iran:an application of garch-in-mean models

this paper investigates the relationship between inflation and growth uncertainty in iran for the period of 1988-2008 by using quarterly data. we employ generalized autoregressive conditional heteroscedasticity in mean (garch-m) model to estimate time-varying conditional residual variance of growth, as a standard measures of growth uncertainty. the empirical evidence shows that growth uncertain...