In this paper, we propose a nonlinear multivariate GARCH-M model. We have illustrated the actual modelling by applying the models to inflation and output growth variables and found that the effects of real and nominal uncertainties are regime-dependent.Nonlinear multivariate GARCH-M, STVAR-GARCH, inflation, growth, uncertainty

Tolga Omay

Research Papers in Economics

English

A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia,&quot;

A theory of ambiguity, credibility, and inflation under discretion and asymmetric information”

In support of price stability” Federal Reserve Bank of Richmond Economic Review,

Inflation and uncertainty: tests for temporal ordering”

Irreversibility, uncertainty, and investment”

Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence”

Modelling nonlinear economic relationships” Advanced Texts in Econometrics,

Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model”

Nobel lecture: Inflation and unemployment”

On the relationship between growth and volatility”

Smooth transition models: extensions and outlier robust inference,

The effects of inflation uncertainty on interest rates: a nonlinear approach”

The Endogenous And Non-Linear Relationship Between Terrorism And Economic Performance: Turkish Evidence,&quot;

The relationship between inflation, output growth, and their uncertainties:

Why does high inflation raise inflation uncertainty?”

The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence