The Survey of the Asymmetric Effects of Inflation's Positive and Negative Shocks on Inflation Uncertainty in Iran Through the Extending Ball Model (1992)

Bajelan, Ali Akbar; Karimi Potanlar, Saeed; Jafari Samimi, Ahmad

doi:10.29252/jemr.9.35.39

Volume 10, Issue 35 (3-2019) jemr 2019, 10(35): 39-68 | Back to browse issues page

‎ 10.29252/jemr.9.35.39

‎ 20.1001.1.22286454.1398.9.35.5.7

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Bajelan A A, Karimi Potanlar S, Jafari Samimi A. The Survey of the Asymmetric Effects of Inflation's Positive and Negative Shocks on Inflation Uncertainty in Iran Through the Extending Ball Model (1992). jemr 2019; 10 (35) :39-68
URL: http://jemr.khu.ac.ir/article-1-1771-en.html

The Survey of the Asymmetric Effects of Inflation's Positive and Negative Shocks on Inflation Uncertainty in Iran Through the Extending Ball Model (1992)

Ali Akbar Bajelan ^*

¹, Saeed Karimi Potanlar²

, Ahmad Jafari Samimi²

1- University of Mazandaran , bajelanaliakbar@yahoo.com
2- University of Mazandaran

Abstract: (4686 Views)

The purpose of current paper is to survey the asymmetric effects of inflation's positive and negative shocks on inflation uncertainty in short-run and long-run. For this end, first, the Ball model (1992) has been extended through the decomposition of inflation shocks to money demand's positive and negative shocks and money supply's positive and negative shocks. Then, through using nonlinear autoregressive distribution lag model and time series data of Iranian economy from 1978 to 2017 the positive and negative effects of inflation on inflation uncertainty, which is from the exponential generalized autoregressive conditional heteroskedasticity model, has been analyzed. The results of the study show that the effects of the inflation's positive shocks on inflation uncertainty in short-run and long-run are positive and significant. In contrast, the negative shocks have not any effects on inflation uncertainty in short-run and long-run. In other words, the rise in inflation causes an increase in inflation uncertainty in Iran; whereas, decrease in inflation has not had effects on inflation uncertainty.

Keywords: Inflation, Inflation Uncertainty, Ball Model, Nonlinear Autoregressive Distribution Lag Model, Exponential Generalized Autoregressive Conditional Heteroskedasticity

Full-Text [PDF 3424 kb] (1984 Downloads)

Type of Study: Applicable | Subject: سایر
Received: 2018/10/31 | Accepted: 2019/04/30 | Published: 2019/06/10

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