The Time-Varying Effect of Inflation Uncertainty on Inflation for Turkey

We investigate the effect of inflation uncertainty on inflation from January 1982 through March 2016 for Turkey by using the Stochastic Volatility in Mean model with time-varying parameters. Our empirical evidence from consumer price index (CPI) inflation suggests that the observed positive relationship between inflation and inflation uncertainty is not robust. This positive relationship diminishes after 2002. This finding is valid for all five subcomponents of CPI inflation; however, for Health Services, Transportation Services, and Recreational and Cultural Services, an inflation-positive association is reported after 2010

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Year of publication:	2018
Authors:	Varlik, Serdar
Other Persons:	Ulke, Volkan (contributor) ; Berument, Hakan (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Türkei \| Turkey \| Inflation \| Inflationserwartung \| Inflation expectations \| ARCH-Modell \| ARCH model \| Risiko \| Risk \| Inflationsrate \| Inflation rate
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Applied Economics Letters, Vol. 24, No. 13, 2017 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2017 erstellt Volltext nicht verfügbar
Classification:	E31 - Price Level; Inflation; Deflation ; C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012915251