The Relationship Between Inflation, Output Growth, and Their Uncertainties: Nonlinear Multivariate Garch-M Evidence
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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.
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Omay, Tolga (2011). "The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence", Economics Bulletin, Vol. 31, No. 4, pp. 3006-3015.
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31
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4
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3006
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3015
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9
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8
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5
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