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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