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

Abstract

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