The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence

Tolga Omay

Economics Bulletin, 2011, vol. 31, issue 4, 3006-3015

Abstract: In this paper, we propose a nonlinear multivariate GARCH-M model. We have illustrated the actual modelling by applying the models to inflation and output growth variables and found that the effects of real and nominal uncertainties are regime-dependent.

Keywords: Nonlinear multivariate GARCH-M; STVAR-GARCH; inflation; growth; uncertainty (search for similar items in EconPapers)
JEL-codes: C5 E0 (search for similar items in EconPapers)
Date: 2011-10-24
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Citations: View citations in EconPapers (10)

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