Granger Causality between Inflation and Inflation Uncertainty in Iran: A MSVAR Approach

Asadollah Farzinvash (), Naaser Elaahi (), Seyed Ziaoddin Kiaalhosseini () and Abdorrahim Haashemi Dizaj ()
Additional contact information
Asadollah Farzinvash: Professor of Economics, University of Tehran
Naaser Elaahi: Assistant Professor of Economics, Mofid University
Seyed Ziaoddin Kiaalhosseini: Assistant Professor of Economics, Mofid University
Abdorrahim Haashemi Dizaj: Ph.D. Candidate in Economics, Mofid University
Authors registered in the RePEc Author Service: Nasser Elahi ()

Quarterly Journal of Applied Theories of Economics, 2016, vol. 3, issue 2, 23-48

Abstract: The main purpose of the present research is to study the Causal relationship between inflation and inflation uncertainty in Iran’s economy during 1990:1 – 2015:4. To achieve this goal, this paper used Vector Auto Regression model with the possibility of changing Markov Regime (MS – VAR). Results obtained from model estimation showed that depending on the placement of inflation and uncertainty variables on the regimes, causal relationship among these variables can be different. In general, results obtained from the research in relation to the presence of causality relationship from inflation to uncertainty of inflation showed that in estimated 5 cases out of the 6 cases, Friedman's (1977) and Ball’s hypothesis (1992), that inflation causes inflation uncertainty to increase, have been confirmed. Also, in the case of the causal relationship from uncertainty of inflation to inflation, it is showed that only in one case out of the 6 studied cases, Pourgerami’s and Maskus’s hypothesis (1987), that an increase in inflation causes a decrease in inflation uncertainty, has been confirmed.

Keywords: Granger causality; Inflation; Inflation uncertainty; Markov switching. (search for similar items in EconPapers)
JEL-codes: C32 C54 E31 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://ecoj.tabrizu.ac.ir/article_4995_e3f8a2846fbd6e0f7c06b657da4f9c4a.pdf Full text (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: https://EconPapers.repec.org/RePEc:ris:qjatoe:0041

Access Statistics for this article

Quarterly Journal of Applied Theories of Economics is currently edited by Sakineh Sojoodi

More articles in Quarterly Journal of Applied Theories of Economics from Faculty of Economics, Management and Business, University of Tabriz Contact information at EDIRC.
Bibliographic data for series maintained by Sakineh Sojoodi ().