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The Relationship Between Inflation, Economic Growth and Liquidity Growth by Using VARMA-MGARCH Model
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Mohsen Ebrahimi *   , Farshid Efati Baran , Kobra Moftakhar Daryaienejad |
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Abstract: (1188 Views) |
| Macroeconomic variables such as inflation, economic growth and liquidity ,due to its importance for developing countries ,have high sensitivity and the volatility of key variables can make much more difficulty for these countries.In addition, knowledge of the future state variables and how they influence each other may have significant role in formulating economic policies. There are many models for explaining the volatility transmission between macroeconomic variables that we describe the communication and effectiveness between three variables; inflation, economic growth and liquidity growth, by using Vector Auto Regression Moving Average(VARMA)andMultivariate Generalized Auto Regressive Conditional Heteroskedasticity(MGARCH) model. The result of our article ,obtained from Stata12 and Splus software, show optimal model, during the years 1353 to 1388, is VARMA-MGARCH(1,1) and in this model liquidity and economic growth interact with each other and both variables directly influence the inflation |
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| Keywords: Inflation, Economic Growth, Liquidity Growth, VARMA, MGARCH |
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Full-Text [PDF 757 kb]
(258 Downloads)
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notification: Research |
Subject:
Special
Received: 2014/02/3 | Accepted: 2014/06/20 | Published: 2013/12/22
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