Revisiting the Effects of Growth Uncertainty on Inflation in Iran:An Application of GARCH-in-Mean Models

This paper investigates the relationship between inflation and growth uncertainty in Iran for the period of ۱۹۸۸-۲۰۰۸ by using quarterly data. We employ Generalized Autoregressive Conditional Heteroscedasticity in Mean (GARCH-M) model to estimate time-varying conditional residual variance of growth, as a standard measures of growth uncertainty. The empirical evidence shows that growth uncertainty affects the level of inflation. This result is in line with Feizi Yengjeh (۲۰۱۰), supporting Deveraux (۱۹۸۹) hypothesis.

Keywords:

Growth Uncertainty , Inflation , GARCH-M models , Iran