Advanced Search
MyIDEAS: Login to save this article or follow this journal

Inflation Dynamics and Business Cycles

Contents:

Author Info

  • Suleyman Hilmi Kal
  • Nuran Arslaner
  • Ferhat Arslaner

Abstract

The paper aims to investigate whether the effect of the backward-looking inflation expectations, nominal effective exchange rate, money supply, gross domestic product and import prices on inflation depends on business cycle. For this purpose, a two states Markov Switching Auto Regression model with time varying transition probabilities to a generic inflation model is implemented for the period 2003-2013. In this model the states are assigned whether output gap is positive or negative. The inflation forecasting in-sample and out-of-sample is also utilized by adopting mean squared error and Diebold Mariano test to measure explanatory and forecasting power of our model. Our main finding provides that the determinants of inflation have different dynamics during boom periods as compared to recessions

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.bifec.com/docs/default-source/default-document-library/book-of-abstracts-and-proceedings.pdf
Download Restriction: no

Bibliographic Info

Article provided by Research and Business Development Department, Borsa Istanbul in its journal BIFEC Book of Abstracts & Proceedings.

Volume (Year): 1 (2014)
Issue (Month): 2 (March)
Pages: 121-129

as in new window
Handle: RePEc:bor:bifeca:v:1:y:2014:i:2:p:121-129

Contact details of provider:
Postal: Reşitpaşa mh. Tuncay Artun Cd. Emirgan, 34467 İstanbul
Phone: (90 212) 298 2100
Fax: (90 212) 298 2189
Email:
Web page: http://www.borsaistanbul.com
More information through EDIRC

Related research

Keywords: Inflation; Output Gap; Exchange Rate Pass-Through; Markov Switching Autoregressions; Business Cycles;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Boz, Emine & Mendoza, Enrique G., 2014. "Financial innovation, the discovery of risk, and the U.S. credit crisis," Journal of Monetary Economics, Elsevier, Elsevier, vol. 62(C), pages 1-22.
  2. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 1(1), pages 3-15, March.
  3. Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert, 2012. "Neglected Risks, Financial Innovation, and Financial Fragility," Scholarly Articles 10886835, Harvard University Department of Economics.
  4. Demirguc-Kunt, Asli & Huizinga, Harry, 2010. "Are banks too big to fail or too big to save? International evidence from equity prices and CDS spreads," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7903, C.E.P.R. Discussion Papers.
  5. Ferreira, Daniel & Manso, Gustavo & Silva, André C., 2010. "Incentives to Innovate and the Decision to Go Public or Private," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7750, C.E.P.R. Discussion Papers.
  6. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 39-70.
  7. Allen, Franklin & Gale, Douglas, 2004. "Competition and Financial Stability," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 36(3), pages 453-80, June.
  8. Lerner, Josh, 2006. "The new new financial thing: The origins of financial innovations," Journal of Financial Economics, Elsevier, Elsevier, vol. 79(2), pages 223-255, February.
  9. Shleifer, Andrei & Vishny, Robert W., 2010. "Unstable banking," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(3), pages 306-318, September.
  10. Robert C. Merton, 1992. "Financial Innovation And Economic Performance," Journal of Applied Corporate Finance, Morgan Stanley, Morgan Stanley, vol. 4(4), pages 12-22.
  11. W. Scott Frame & Lawrence J. White, 2004. "Empirical Studies of Financial Innovation: Lots of Talk, Little Action?," Journal of Economic Literature, American Economic Association, vol. 42(1), pages 116-144, March.
  12. Pinelopi Koujianou Goldberg & Michael M. Knetter, 1997. "Goods Prices and Exchange Rates: What Have We Learned?," Journal of Economic Literature, American Economic Association, vol. 35(3), pages 1243-1272, September.
  13. Josh Lerner & Peter Tufano, 2011. "The Consequences of Financial Innovation: A Counterfactual Research Agenda," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 41-85, December.
  14. Andrés Carvajal & Marzena Rostek & Marek Weretka, 2012. "Competition in Financial Innovation," Econometrica, Econometric Society, Econometric Society, vol. 80(5), pages 1895-1936, 09.
  15. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
  16. Josh Lerner, 2008. "The Litigation of Financial Innovations," NBER Working Papers 14324, National Bureau of Economic Research, Inc.
  17. Henderson, Brian J. & Pearson, Neil D., 2011. "The dark side of financial innovation: A case study of the pricing of a retail financial product," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(2), pages 227-247, May.
  18. Oinonen, Sami & Paloviita, Maritta & Vilmi , Lauri, 2013. "How have inflation dynamics changed over time? Evidence from the euro area and USA," Research Discussion Papers, Bank of Finland 6/2013, Bank of Finland.
  19. Josh Lerner & Peter Tufano, 2011. "The Consequences of Financial Innovation: A Counterfactual Research Agenda," NBER Working Papers 16780, National Bureau of Economic Research, Inc.
  20. Tufano, Peter, 1989. "Financial innovation and first-mover advantages," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(2), pages 213-240, December.
  21. Thakor, Anjan V., 2012. "Incentives to innovate and financial crises," Journal of Financial Economics, Elsevier, Elsevier, vol. 103(1), pages 130-148.
  22. Laetitia Lepetit & Frank Strobel, 2012. "Bank equity Involvement in Industrial Firms and Bank Risk," Working Papers hal-00916709, HAL.
  23. Upper, Christian & Worms, Andreas, 2002. "Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?," Discussion Paper Series 1: Economic Studies 2002,09, Deutsche Bundesbank, Research Centre.
  24. Bhattacharyya, Sugato & Nanda, Vikram, 2000. "Client Discretion, Switching Costs, and Financial Innovation," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 13(4), pages 1101-27.
  25. Stelios Michalopoulos & Luc Laeven & Ross Levine, 2011. "Financial Innovation and Endogenous Growth," Economics Working Papers, Institute for Advanced Study, School of Social Science 0097, Institute for Advanced Study, School of Social Science.
  26. Lepetit, Laetitia & Strobel, Frank, 2013. "Bank insolvency risk and time-varying Z-score measures," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 25(C), pages 73-87.
  27. Demirguc-Kunt , Asli & Huizinga, Harry, 2011. "Do we need big banks ? evidence on performance, strategy and market discipline," Policy Research Working Paper Series 5576, The World Bank.
  28. Merton H. Miller, 1992. "Financial Innovation: Achievements And Prospects," Journal of Applied Corporate Finance, Morgan Stanley, Morgan Stanley, vol. 4(4), pages 4-11.
  29. Miller, Merton H., 1986. "Financial Innovation: The Last Twenty Years and the Next," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 21(04), pages 459-471, December.
  30. Duffie Darrell & Rahi Rohit, 1995. "Financial Market Innovation and Security Design: An Introduction," Journal of Economic Theory, Elsevier, Elsevier, vol. 65(1), pages 1-42, February.
  31. Franklin Allen & Ana Babus & Elena Carletti, 2009. "Financial Crises: Theory and Evidence," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 97-116, November.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bor:bifeca:v:1:y:2014:i:2:p:121-129. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ahmet Palu).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.