Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi N.; Aye, … - Department of Economics, Faculty of Economic and … - 2014
This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of...