خلاصة:
This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the Iranian economy. The results of a two-step procedure such as Granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation. However, Pagan (1984) criticizes this two-step procedure for its misspecifications due to the use of generated variables from the first stage as regressors in the second stage. This paper uses the Full Information Maximum Likelihood (FIML) method to address this issue. The estimates we gathered with the new set of specifications suggest that inflation causes inflation uncertainty, supporting the Friedman–Ball hypothesis.
ملخص الجهاز:
"Inflation and Inflation Uncertainty in Iran: An Application of GARCH-in-Mean Model with FIML Method of Estimation Hassan Heidari∗ Sahar Bashiri∗∗ Abstract This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the Iranian economy.
The results of a two-step procedure such as Granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation.
, 1996; Crawford and Kasmovich, 1996; Joyce, 1997; Grier and Perry, 1990, 1998, 2000; Davis and Kanago, 2000; Perry and Tevfik, 2000; Fountas, 2001; Fountas, et.
2002; Bhar and Hamori, 2004; Kontonikas, 2004; Berument and Nargez Dincer, 2005; Conrad and Karanasos, 2005; Vale, 2005; Artan, 2006; Caporale and Kontonikas, 2006; Grier and Grier, 2006; Thornton, 2007; Heidari and Montakhab, 2008; Heidari and Bashiri, 2009; Jafari Samimi and Motameni 2009; Berument, et al, 2009; Jiranyakul and Opiela, 2010).
For example, with Iranian data Farzinvash and Abbasi (2005); Emami and Salmanpour (2006); Tashkini (2006); Heidari and Montakhab (2008) and Jafari Samimi and Motameni (2009) estimate the conditional variance of inflation, as a measure of inflation uncertainty, by applying GARCH family models, and then perform the Granger causality tests between these generated conditional variance measures and inflation series.
5. Conclusion This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data and applying GARCH model in the Iranian economy."