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...

Based on its outward-oriented development strategy, respectable growth, increased integration into world trade and financial markets, and imperfect though vibrant and wide-based democracy, Turkey is often cited as a development model for other countries in the region and elsewhere. Countering...

This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive conditional heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the U.K. quarterly data from...

The positive relationship between inflation and inflation uncertainty is well supported by empirical evidence in the literature. However, this does not answer the question of whether the inflation causes the inflation uncertainty and vice versa or both in the Granger sense. The empirical...

This study examines the relationship between inflation and inflation uncertainty in the G-7 countries for the period from 1957 to 2001. The causality between the inflation and inflation uncertainty is tested by using the Full Information Maximum Likelihood Method with extended lags. Our results...