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      • Department of Economics
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      The inflation and inflation uncertainty relationship for Turkey: a dynamic framework

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      Author
      Berument, Hakan
      Yalcin, Y.
      Yildirim, J. O.
      Date
      2011
      Source Title
      Empirical Economics
      Print ISSN
      0377-7332
      Electronic ISSN
      1435-8921
      Publisher
      Springer
      Volume
      41
      Issue
      2
      Pages
      293 - 309
      Language
      English
      Type
      Article
      Item Usage Stats
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      105
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      Abstract
      This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using monthly data for the time period 1984-2009. The bulk of previous studies investigating the link between inflation and inflation uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consider inflation uncertainty as a predetermined function of innovations to inflation specification. The stochastic volatility in mean (SVM) models that we use allow for gathering innovations to inflation uncertainty and assess the effect of inflation volatility shocks on inflation over time. When we assess the interaction between inflation and its volatility, the empirical findings indicate that response of inflation to inflation volatility is positive and statistically significant. However, the response of inflation volatility to inflation is negative but not statistically significant.
      Keywords
      Inflation
      Inflation uncertainty
      Stochastic volatility models
      VAR
      Impulse response
      Permalink
      http://hdl.handle.net/11693/12260
      Published Version (Please cite this version)
      http://dx.doi.org/10.1007/s00181-010-0377-4
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      • Department of Economics 649
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