Relationship between Inflation and Inflation Uncertainty in the OPEC countries

سال انتشار: 1391
نوع سند: مقاله کنفرانسی
زبان: انگلیسی
مشاهده: 1,303

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شناسه ملی سند علمی:

ACMFEP22_008

تاریخ نمایه سازی: 12 شهریور 1392

چکیده مقاله:

In this paper we have studied the relationship between inflation and inflation uncertainty for OPEC countries with monthly data for inflation over the period 1990 to 2009. The causality between the inflation and inflation uncertainty is tested by using the Full Information Maximum Likelihood Method with extended lags. Our results suggest that inflation causes inflation uncertainty for all the OPEC countries, while inflation uncertainty causes inflation for Algeria, Iran, Iraq, Libya, UAE, Qatar and Kuwait. Furthermore, we have found that in four countries (Iran, Saudi Arabia, Ecuador and the Venezuela) increased inflation uncertainty leads to an increase in inflation by a lower rate, while and in two countries (Angola and UAE), increased inflation uncertainty leads to an increase in inflation by a higher rate.

کلیدواژه ها:

Inflation Uncertainty ، GARCH Models ، Monetary Policy JEL classification: E20 ، E31 ، O41 ، D81

نویسندگان

Yazdan Gudarzi Farahani

M.A student in Economics, Department of Economics, University of Tehran, Iran

Behzad Varmazyari

M.A student in Economics, Department of Economics, University of Tehran, Iran

Ehsan Asghari Ghara

M.A student in Economics, Department of Economics, University of Tehran, Iran

Masood Dastan

M.A student in Economics, Department of Economics, University of Tehran, Iran

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