125-137

• Türkyilmaz, Serpil
• Özer, Mustafa

In this paper, we estimate bivariate GARCH models of inflation and output growth to examine the causality relationships among inflation, output growth, nominal (inflation) uncertainty and real (output) uncertainty for Turkey over the period 1997:01-2008:05. The empirical results of the study support some of the well known hypotheses which are designed to explain the relationships among inflation, output growth rate, real and nominal uncertainty. Firstly, we find the evidence that increased inflation raises nominal uncertainty, confirming Friedman (1977) and Ball (1992) hypotheses. Secondly, the results also support the Cukierman-Meltzer (1986) hypothesis that nominal uncertainty causes to more inflation. Thirdly, the findings of the study indicate that there is a causal relation between real uncertainty and inflation. This finding is in agreement with Taylor (1979) and Deveraux (1989) hypotheses. Finally, the effect of output growth on real uncertainty is significant as predicted by Taylor (1979).

• Economics and Business
• Computer and information sciences

• Οικονομία
• Statistics

inflation, nominal uncertainty, output growth, real uncertainty, bivariate GARCH estimates, BEKK parameterization, conditional variance, granger causality

Περιέχει διαγράμματα, πίνακες και βιβλιογραφία