کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063121 1476674 2015 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model
چکیده انگلیسی

This study investigates the asymmetric and time-varying causalities between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of causality. We account for the nonlinear, long memory and seasonal features of the inflation series simultaneously by measuring inflation uncertainty as the conditional variance of inflation generated by recursive estimation of a Seasonal Fractionally Integrated Smooth Transition Autoregressive Asymmetric Power GARCH (SEA-FISTAR-APGARCH) model using monthly data for the period 1921:01 to 2012:12. The recursive, rather than full-sample, estimation allows us to obtain a time-varying measure of uncertainty and better mimics the real-time scenario faced by economic agents and/or policy makers. The inferred probabilities from the four-state MS-VAR model show evidence of a time-varying relationship. The conditional (i.e. lead-lag) and regime-prediction Granger causality provide evidence in favor of Friedman's hypothesis. This implies that past information on inflation can help improve the one-step-ahead prediction of inflation uncertainty but not vice versa. Our results have some important policy implications.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 24, September 2015, Pages 46-68
نویسندگان
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