scholarly journals A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback

2001 ◽  
Author(s):  
Stilianos Fountas ◽  
Menelaos Karanasos ◽  
Marika Karanassou
Keyword(s):  
Garch Model ◽  
Inflation Uncertainty

scholarly journals Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan

2010 ◽  
Vol 15 (2) ◽  
pp. 1-33 ◽  
Author(s):  
Syed Kumail Abbas Rizvi ◽  
Bushra Naqvi
Keyword(s):  
Granger Causality ◽  
Strong Evidence ◽  
Garch Model ◽  
Granger Causality Test ◽  
Time Varying ◽  
Inflation Uncertainty ◽  
Causality Test ◽  
Quarterly Data ◽  
Second Stage ◽  
Asymmetric Behavior

This paper is a first attempt to measure and analyze inflation uncertainty in Pakistan. It makes several contributions to the literature. In the first stage, using quarterly data from 1976:01 to 2008:02, we model inflation uncertainty as a time varying process using the GARCH framework. In the second stage, we analyze the asymmetric behavior of inflation uncertainty using the GJR-GARCH and EGARCH models. For further analysis of asymmetry and leverage effects, we develop news impact curves as proposed by Pagan and Schwart (1990). Finally we investigate the causality and its direction between inflation and inflation uncertainty by using the bivariate Granger-Causality test to determine which inflation uncertainty hypothesis (Friedman-Ball or Cukierman-Meltzer) holds true for Pakistani data. We obtain two important results. First, the GJR-GARCH and EGARCH models are more successful in capturing inflation uncertainty and its asymmetric behavior than the simple GARCH model. This can also be seen from news impact curves showing a significant level of asymmetry. Second, there is strong evidence that the Friedman-Ball inflation uncertainty hypothesis holds true for Pakistan.

scholarly journals Inflation and inflation-uncertainty in India: the policy implications of the relationship

2014 ◽  
Vol 41 (1) ◽  
pp. 71-86 ◽  
Author(s):  
Abdur Chowdhury
Keyword(s):  
Granger Causality ◽  
Strong Support ◽  
Garch Model ◽  
Policy Implications ◽  
Maximum Likelihood Estimates ◽  
Inflation Uncertainty ◽  
Policy Makers ◽  
Content Type ◽  
Economic Output ◽  
The Relationship

Purpose – Inflation and its related uncertainty can impose costs on real economic output in any economy. This paper aims to analyze the relationship between inflation and inflation uncertainty in India. Design/methodology/approach – The methodology uses a generalized autoregressive conditional heteroscedasticity (GARCH) model and Granger Causality test. Findings – Initial estimates show the inflation rate to be a stationary process. The maximum likelihood estimates from the GARCH model reveal strong support for the presence of a positive relationship between the level of inflation and its uncertainty. The Granger causality results indicate a feedback between inflation and uncertainty. Research limitations/implications – The research results have important implication for policy makers and especially the Reserve Bank of India. Practical implications – It provides strong support to the notion of an opportunistic central bank in India. Originality/value – The results of the paper are of relevance not only to the monetary policy makers but also to academicians in India and other developing countries.

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