Causality between inflation and inflation uncertainty in South Africa: evidence from a Markov-switching vector autoregressive model
Adnen Ben Nasr, Mehmet Balcilar, Ahdi N. Ajmi, Goodness C. Aye, Rangan Gupta, Reneé van Eyden
| Year of publication: |
September 2015
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|---|---|
| Authors: | Nasr, Adnen Ben ; Balcilar, Mehmet ; Ajmi, Ahdi Noomen ; Aye, Goodness C. ; Gupta, Rangan ; Van Eyden, Reneé |
| Published in: |
Emerging markets review. - Amsterdam [u.a.] : Elsevier, ISSN 1566-0141, ZDB-ID 2025202-X. - Vol. 24.2015, p. 46-68
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| Subject: | Inflation | Inflation uncertainty | Seasonality | Long memory | Time-varying causality | Markov switching model | Markov-Kette | Markov chain | Südafrika | South Africa | Schätzung | Estimation | Kausalanalyse | Causality analysis | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Risiko | Risk | Inflationserwartung | Inflation expectations | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ememar.2015.05.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011538531