All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

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
Manuscript Received : Jul 29 2011 Manuscript Accepted : Oct 24 2011

  This abstract has been downloaded 1673 times                The Full PDF of this paper has been downloaded 149692 times