Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan

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

EN

Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan

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.

Keywords

Friedman-Ball Hypothesis, Inflation Uncertainty, GARCH, Granger Causality

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Sajid Amin Javed This is me

Saud Ahmed Khan This is me

Azad Haider This is me

Farzana Shaheen This is me

Publication Date

September 1, 2012

Submission Date

September 1, 2012

Acceptance Date

-

Published in Issue

Year 2012 Volume: 2 Number: 3

IZ

https://izlik.org/JA75WA48BJ

Cite

RIS / Bibtex

APA

Javed, S. A., Khan, S. A., Haider, A., & Shaheen, F. (2012). Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan. International Journal of Economics and Financial Issues, 2(3), 348-356. https://izlik.org/JA75WA48BJ

AMA

1.Javed SA, Khan SA, Haider A, Shaheen F. Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan. IJEFI. 2012;2(3):348-356. https://izlik.org/JA75WA48BJ

Chicago

Javed, Sajid Amin, Saud Ahmed Khan, Azad Haider, and Farzana Shaheen. 2012. “Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan”. International Journal of Economics and Financial Issues 2 (3): 348-56. https://izlik.org/JA75WA48BJ.

EndNote

Javed SA, Khan SA, Haider A, Shaheen F (September 1, 2012) Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan. International Journal of Economics and Financial Issues 2 3 348–356.

IEEE

[1]S. A. Javed, S. A. Khan, A. Haider, and F. Shaheen, “Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan”, IJEFI, vol. 2, no. 3, pp. 348–356, Sept. 2012, [Online]. Available: https://izlik.org/JA75WA48BJ

ISNAD

Javed, Sajid Amin - Khan, Saud Ahmed - Haider, Azad - Shaheen, Farzana. “Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan”. International Journal of Economics and Financial Issues 2/3 (September 1, 2012): 348-356. https://izlik.org/JA75WA48BJ.

JAMA

1.Javed SA, Khan SA, Haider A, Shaheen F. Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan. IJEFI. 2012;2:348–356.

MLA

Javed, Sajid Amin, et al. “Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan”. International Journal of Economics and Financial Issues, vol. 2, no. 3, Sept. 2012, pp. 348-56, https://izlik.org/JA75WA48BJ.

Vancouver

1.Sajid Amin Javed, Saud Ahmed Khan, Azad Haider, Farzana Shaheen. Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan. IJEFI [Internet]. 2012 Sep. 1;2(3):348-56. Available from: https://izlik.org/JA75WA48BJ