Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan

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

Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan

Year 2012, Volume: 2 Issue: 3, 348 - 356, 01.09.2012

Sajid Amin Javed Saud Ahmed Khan Azad Haider Farzana Shaheen

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

Year 2012, Volume: 2 Issue: 3, 348 - 356, 01.09.2012

Sajid Amin Javed Saud Ahmed Khan Azad Haider Farzana Shaheen

Abstract

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Details

Other ID	JA59HK27RN
Journal Section	Research Article
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
Published in Issue	Year 2012 Volume: 2 Issue: 3

Cite

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.
AMA	Javed SA, Khan SA, Haider A, Shaheen F. Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan. IJEFI. September 2012;2(3):348-356.
Chicago	Javed, Sajid Amin, Saud Ahmed Khan, Azad Haider, and Farzana Shaheen. “Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan”. International Journal of Economics and Financial Issues 2, no. 3 (September 2012): 348-56.
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	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, 2012.
ISNAD	Javed, Sajid Amin et al. “Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan”. International Journal of Economics and Financial Issues 2/3 (September 2012), 348-356.
JAMA	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, 2012, pp. 348-56.
Vancouver	Javed SA, Khan SA, Haider A, Shaheen F. Inflation and Inflation Uncertainty Nexus: Empirical Evidence from Pakistan. IJEFI. 2012;2(3):348-56.