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Tolga Omay
 
''The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence''
( 2011, Vol. 31 No.4 )
 
 
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.
 
 
Keywords: Nonlinear multivariate GARCH-M, STVAR-GARCH, inflation, growth, uncertainty
JEL: C5 - Econometric Modeling: General
E0 - Macroeconomics and Monetary Economics: General
 
Manuscript Received : Jul 29 2011 Manuscript Accepted : Oct 24 2011

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