Revisiting the Effects of Growth Uncertainty on Inflation in Iran: An Application of GARCH-in-Mean Models

This paper investigates the relationship between inflation and growth uncertainty in iran for the period of 1988-2008 by using quarterly data. we employ generalized autoregressive conditional heteroscedasticity in mean (garch-m) model to estimate time- varying conditional residual variance of growth, as a standard measures of growth uncertainty. the empirical evidence shows that growth uncertainty affects the level of inflation. this result is in line with feizi yengjeh (2010), supporting deveraux (1989) hypothesis.