Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan

Sajid Amin Javed; Saud Ahmed Khan; Azad Haider; Farzana Shaheen

Article Details

Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan

Authors:

Sajid Amin Javed | Saud Ahmed Khan | Azad Haider | Farzana Shaheen

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2012 Vol.2 Issue 3, pp.348-356

Document Type:

Article

Publication Date:

8/2012

Document Language:

Turkish

Document ID (Org No.):

2000814842

Frequency:

Bimonthly

eISSN:

2146-4138

Abstract:

 

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 hypothesis for Pakistan as Granger-causality test reveals that inflation affects inflation uncertainty positively. We find no evidence for inflation uncertainty affecting inflation rates as suggested by Cukierman & Meltzer (1986) and only unidirectional relation is evident with causality running from inflation to inflation uncertainty. High volatility persistence for inflation is also confirmed. Results of the study may be useful for policymakers at central bank to devise more efficient monetary policy.

Article Details

Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan

Authors: Sajid Amin Javed | Saud Ahmed Khan | Azad Haider | Farzana Shaheen

Publisher: İlhan ÖZTÜRK

Journal: International Journal of Economics and Financial Issues 2012 Vol.2 Issue 3, pp.348-356

Document Type: Article

Publication Date: 8/2012

Document Language: Turkish

Document ID (Org No.): 2000814842

Frequency: Bimonthly

eISSN: 2146-4138

Issues

Authors:

Sajid Amin Javed | Saud Ahmed Khan | Azad Haider | Farzana Shaheen

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2012 Vol.2 Issue 3, pp.348-356

Document Type:

Article

Publication Date:

8/2012

Document Language:

Turkish

Document ID (Org No.):

2000814842

Frequency:

Bimonthly

eISSN:

2146-4138