Economics at your fingertips  

The Relation Between Inflation and Inflation Uncertainty In Iran

Mahdiyeh Entezarkheir
Additional contact information
Mahdiyeh Entezarkheir: P.h.D Candidate for Economics, University of Waterloo, Waterloo, Canada

Iranian Economic Review (IER), 2006, vol. 10, issue 3, 1-20

Abstract: Decreasing inflation uncertainty, as the major source of welfare costs, requires finding the driving factors of this variable. Counting inflation as one of the driving factors of inflation uncertainty has created some concern due to the ambiguity over the causality between inflation and inflation uncertainty. This ambiguity has inspired several studies in the literature, which mostly focuses on testing two separate hypotheses to solve this ambiguity. These hypotheses are Friedman-Ball hypothesis, which assumes higher inflation leads to higher inflation uncertainty, and Cukierman-Meltzer hypothesis, which claims the reverse. After testing for Friedman-Ball and Cukierman-Meltzer hypotheses in Iranian economy, with applying TGARCH and EGARCH models, this study reveals that EGARCH model supports the asymmetry in error terms distribution of Iranian data and accepts both hypotheses. However, results based on TGARCH approach do not support the asymmetry in error terms distribution, which implies TGARCH model is not reliable for Iranian data.

Keywords: Inflation; Inflation uncertainty; Autoregressive Conditional Heteroskedasticity (ARCH); Conditional Variance (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Iranian Economic Review (IER) is currently edited by Dr.Hossien Abbasinejad

More articles in Iranian Economic Review (IER) from Faculty of Economics,University of Tehran.Tehran,Iran Contact information at EDIRC.
Bibliographic data for series maintained by [z.rahimalipour] ().

Page updated 2019-06-20
Handle: RePEc:eut:journl:v:10:y:2006:i:3:p:1