The time-varying effect of inflation uncertainty on inflation for Turkey

Date

2017

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Source Title

Applied Economics Letters

Print ISSN

1350-4851

Electronic ISSN

1466-4291

Publisher

Routledge

Volume

24

Issue

13

Pages

961 - 967

Language

English

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Abstract

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. © 2016 Informa UK Limited, trading as Taylor & Francis Group.

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