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

Mohammad Ali Falahi and Mehdi Hajamini
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Mohammad Ali Falahi: Ferdowsi University of Mashhad
Mehdi Hajamini: Ferdowsi University of Masshad

Journal of Money and Economy, 2015, vol. 10, issue 2, 69-91

Abstract: 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, Pourgerami-Maskus,

Keywords: Inflation uncertainty; Nonlinearity; Self-exciting threshold autoregressive; Iran (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmonec:v:10:y:2015:i:2:p:69-91

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