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