Sectorel Inflation Persistence In Turkey
AbstractAccording to one definition inflation persistence is the time that it takes for the inflation to return to its long run level after a shock. If this time is long it means that inflation persistence is high. If the economic structure poseses such a feature, it may require more effort to keep the inflation low and stable. Studies in this area has measured persistence in different ways. In this study this value is defined as the sum of the autoregressive coefficients of a univariate model. Another important subject about inflation studies is the existence of a structural break. In general there has been structural breaks detected in CPI and WPI series. It is shown that using dummy variables for structural breaks has significantly affected the persistence value. In general it is found that while the average of CPI inflation persistence is about 0.60, this number for WPI is about 0.20. A difference between manufacturing and service sectors has not been detected. Furthermore the view that there has been a drop in inflation persistence in other countries is not valid for Turkey.
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Bibliographic InfoArticle provided by Anadolu University in its journal Anadolu University Journal of Social Sciences.
Volume (Year): 11 (2011)
Issue (Month): 1 (January)
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Sectorel inflation; Inflation persistence; Structural break; Autoregression;
Find related papers by JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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