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Said Zamin Shah,Ahmad Zubaidi Baharumshah,Muzafar Shah Habibullah,Law Siong Hook
Pág. 377 - 386
This study examines an empirical analysis of the causal links and volatility spillovers between inflation, output growth and their uncertainties in Bangladesh by utilizing the AR(p)-EGARCH model for the period 1993-2014. The study shows that EGARCH versi...
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Muhammad Edhie Purnawan, Inda Fresti Puspitasari
Pág. 153 - 161
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Buket ALKAN
Pág. 78 - 93
JEL. E52, E58.
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Eduardo Rosas Rojas,Teresa López González
Pág. 349 - 372
This research paper examines the relationship between inflation and inflation uncertainty for the Mexican economy during the period from January 1969 to February 2017. Using SARMA-GARCH models and their extensions (GJR-GARCH-M and E-GARCH-M), the study e...
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Mawuli Segnon, Stelios Bekiros and Bernd Wilfling
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Tariq A.H. Al-Zuhd,Mohammad H. Saleh
Pág. 198 - 203
In the this paper, we analyze the causality between inflation and inflation uncertainty in Kuwait . The monthly Consumer Price Index (CPI) during the period from January 1992 to September 2016 has been used to measure inflation. The inflation uncertainty...
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Izz Eddien N. Ananzeh
Pág. 929 - 932
There are many harmful impacts of inflation and inflation volatility in any economy, which includes increasing the risk premium, costs of hedging, and consequently leads to re-distribution of national income between strata of society unfairly. Therefore,...
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Mustafa Caglayan, Ozge Kandemir Kocaaslan, Konstantinos Mouratidis
Pág. 3 - 23
In this paper, we propose an analytical framework to explore the level and volatility effects of inflation on the output gap. Using quarterly US data over 1977:q2-2009:q4, we then examine the empirical implications of the model by implementing an instrum...
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Mihaela Bratu
Pág. 230 - 236
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Sajid Amin Javed,Saud Ahmed Khan,Azad Haider,Farzana Shaheen
Pág. 348 - 356
This study examines relationship between Inflation and Inflation uncertainty for Pakistan using monthly data over 1957:1-2007:12. ARMA-GARCH model is applied to estimate conditional volatility of inflation. Findings of the study support Friedman-Ball hyp...
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Shehu El-Rasheed,Hussin Abdullah,Jauhari Dahalan
Pág. 601 - 607
This paper investigates the effect of monetary uncertainty on the stability of money demand function in Nigeria using the ARDL approach for the period of 1980 to 2014. The demand for money in Nigeria is specified as a function of income, domestic i...
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Pei-Tha Gan,Siew-Yong Lim,Mohd Yahya bin Mohd Hussin,Fidlizan bin Muhammad
Pág. 98 - 105
The studies on the demand for money rarely focus on the economic uncertainty rather than the scale variable (i.e., output), opportunity cost variables (i.e., interest rate and inflation rate) and external variable (i.e., exchange rate). To overcome this ...
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Pinar Fulya Gebesoglu, Dr., Nimet Varlik, Asst. Prof.
Pág. 076 - 092
This paper investigates the validity of Fisher?s hypothesis and neo-Fisherian approach for Turkey using cointegration of Pesaran et al. (2001) as well as the methodology of Granger causality developed by Toda and Yamamoto (1995). The scope of the study f...
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Pinar Fulya Gebesoglu, Dr., Nimet Varlik, Asst. Prof.
Pág. 076 - 092
This paper investigates the validity of Fisher?s hypothesis and neo-Fisherian approach for Turkey using cointegration of Pesaran et al. (2001) as well as the methodology of Granger causality developed by Toda and Yamamoto (1995). The scope of the study f...
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Rolando Gonzales Martínez
An analytical Bayesian approach to seasonal analysis is proposed, using robust priors to control for extreme observations. Seasonal fan charts were estimated with Bayesian predictive densities. Empirical applications to U.S. residential electricity consu...
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Ahmed Kamara and Niraj P. Koirala
In this paper, we study the effects of uncertainty shocks in a quantitative framework where firms in the corporate sector are constrained by credit. Specifically, we formulate borrowing constraints as a nested function that features both earnings and cap...
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Willem Thorbecke
Inflation in 2021 and 2022 grew much faster than the Federal Reserve expected. The Fed downplayed inflation in 2021 and then increased the federal funds rate by 500 basis points between March 2022 and May 2023. This paper investigates how this unpreceden...
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Paulo Vitor Souza de Souza,César Augusto Tibúrcio Silva
Pág. 163 - 171
In this paper, we analyzed the effects of the crisis generated by the COVID-19 pandemic on international capital markets. We used the most representative indexes belonging to the stock markets of 44 world economies in daily time series with data from 01/...
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Samson Ogege,Tarila Boloupremo
Pág. 18 - 24
This paper seeks to appraise the uncertainty of oil price influence on the activities of Nigerian economy with regard to human development in Nigeria. The research utilized the annual time series data spanning between 1981-2018, and the stationarity of t...
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