Comparing the Relationship between Inflation and Inflation Uncertainty in Iran and Three OPEC Members

Subject Areas :

Elham Farnaghi ¹ , Oranus Parivar ² , Hamid Tofighi ³

1 - کارشناس ارشد اقتصاد دانشگاه آزاد اسلامی واحد تهران جنوب
2 - استادیار و عضو هئیت علمی دانشگاه آزاد اسلامی واحد تهارن جنوب
3 - استادیار و عضو هئیت علمی دانشگاه آزاد اسلامی واحد تهارن جنوب

Received: 2015-11-01 Accepted : 2015-11-01 Published : 2012-12-21

Keywords: Iran, Saudi Arabia, Venezuela, inflation, inflation uncertainty, EGARCH model, Algeria,

Abstract :

By employing conditional variance modeling and Granger causality test, we specified and compared the linkage between inflation and inflation uncertainty in Iran and three other OPEC members. To achieve this purpose we used consumer price index quarterly data for the years 1985-2009. The results suggest strong evidence that shows that in all these countries the increase in inflation leads to increase in inflation uncertainty. But in reverse, only in Iran and Venezuela, a causal relationship from inflation uncertainty to inflation can be found