Inflation and Inflation Uncertainty in Iran: An Application of GARCH-in-Mean Model with FIML Method of Estimation
سال انتشار: 1389
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 27
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شناسه ملی سند علمی:
JR_IJBDS-2-1_006
تاریخ نمایه سازی: 17 دی 1402
چکیده مقاله:
This paper investigates the relationship between inflation and inflation uncertainty for the period of ۱۹۹۰-۲۰۰۹ 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, Pagan (۱۹۸۴) criticizes this two-step procedure for its misspecifications due to the use of generated variables from the first stage as regressors in the second stage. This paper uses the Full Information Maximum Likelihood (FIML) method to address this issue. The estimates we gathered with the new set of specifications suggest that inflation causes inflation uncertainty, supporting the Friedman–Ball hypothesis.
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