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Modeling of IRAN Economy Inflation Uncertainty
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Nazar Dahmardeh *   , Mahdi Safdari , Farshid Pourshahabi |
| , Nazar@hamoon.usb.ac.ir |
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Abstract: (14951 Views) |
| In this paper we try to measure inflation uncertainty. The measure of
uncertainty is based on the conditional standard deviations which are
derived rom univariate garch models.
We focus on volatility of the consumer price index, using monthly
data the period 1369:01 to 1387:12 representing 228 observations.
There is sufficient empirical evidence that higher inflation rate level
will results in higher inflation uncertainty. Our next research will
study on the relationship (granger causality) between Inflation and
Inflation and inflation uncertainty as noted by friedman (1977) who
argues that a positive relationship between the level of inflation and
inflation uncertainty.
Also in this study we gauge two features of inflation uncertainty,
namely asymmetry and persistence of shocks.
The results show that shocks have asymmetric effects on the volatility
of inflation and shocks inflation uncertainty do not die out rapidly. |
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| Keywords: Uncertainty, Inflation, GARCH |
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Full-Text [PDF 359 kb]
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Type of Study: Research |
Subject:
General
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