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

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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Year of publication:	2011
Authors:	Omay, Tolga
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 31.2011, 4, p. 3006-3015
Publisher:	AccessEcon
Subject:	Nonlinear multivariate GARCH-M \| STVAR-GARCH \| inflation \| growth \| uncertainty

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C5 - Econometric Modeling ; E0 - Macroeconomics and Monetary Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009351481