"Using Markov Switching Model to Investigate the Link between the Inflation and Uncertain Inflation in Iraq for the periods 1980-2010"
DOI:
https://doi.org/10.33095/jeas.v19i71.874Keywords:
تبديل ماركوف, أنموذج ماركوف المخفي, الاحتمالات المرشحة, الاحتمالات الممهدة, خوارزمية EM, التضخم, التضخم غير المؤكد., Markov Switching, Hidden Markov Model (HMM), Filtered probabilities, Smoothed Probabilities, EM, Inflation, Uncertain inflationAbstract
In this paper we use the Markov Switching model to investigate the link between the level of Iraqi inflation and its uncertainty; forth period 1980-2010 we measure inflation uncertainty as the variance of unanticipated inflation. The results ensure there are a negative effect of inflation level on inflation uncertainty and all so there are a positive effect of inflation uncertainty on inflation level.
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