Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi N.; Aye, … - Department of Economics, Faculty of Economic and … - 2014
This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South …-sample, estimation allows us to obtain a time-varying measure of uncertainty and better mimics the real-time scenario faced by economic … agents and/or policy makers. The inferred probabilities from the four-state MS-VAR model show evidence of a time-varying …