After two types of inflation uncertainty are derived within a time-varying parameter model with GARCH specification, the relationship between inflation uncertainty and interest rates for safe assets is investigated. The results support the existence of a ‘‘flight to quality’’ effect.

This study analyses the impact of exchange rates on domestic prices in Turkey. We seek to demonstrate the variations (if any) in the exchange rate pass-through across different exchange rate regimes, identify the determinants of this change, and characterize the degree and extent of pass-through...

The recent studies by Blanchard (2004) and Favero and Giavazzi (2004) imply that a tight monetary policy consistent with an inflation-targeting framework in emerging market economies could actually increase the price level due to the lack of fiscal discipline and the associated high risk...

This paper presents a time-varying parameter methodology for constructing an estimate of output gap for Turkey. We employ the extended Kalman filter technique in a multivariate setting in which economic content is utilized by the inclusion of inflation and output gap dynamics. As a by-product,...

Foreign exchange rate interventions of the central banks for the emerging market economies are studied only to a limited extent. However, due to the different characteristics of these economies, especially in terms of the exchange rate dynamics, such an analysis can reveal important information....

This study has two purposes. First, it attempts to improve the literature on foreign exchange interventions of the central banks for the emerging market economies, which have not been studied in details. The Turkish economy in the post-crisis period constitutes a good example in this context....

This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty — structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty — are defined and derived by using a time-varying...