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Filtering short term fluctuations in inflation analysis

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Author Info

  • H. Çağrı AKKOYUN

    (TCMB)

  • Oğuz ATUK

    (TCMB)

  • N. Alpay KOÇAK

    (TÜİK)

  • M. Utku ÖZMEN

    (TCMB)

Abstract

Many economic time series, specifically inflation, are subject to seasonal fluctuations. Seasonal adjustment is a powerful tool for removing such fluctuations. Meanwhile, seasonal adjustment may provide highly volatile series, as it deals with certain type of movements completed on seasonal frequencies. However, short term fluctuations occurring at non-seasonal frequencies are also possible. In the context of inflation, we propose a two-step methodology combining wavelet and band-pass filters and aiming at removing all short term fluctuations within a year. This method yields much smoother series than seasonal adjustment provides. Moreover, filtered series capture the dynamics of inflation in subgroups well.

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Bibliographic Info

Article provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.

Volume (Year): 27 (2012)
Issue (Month): 319 ()
Pages: 31-52

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Handle: RePEc:iif:iifjrn:v:27:y:2012:i:319:p:31-52

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Web page: http://iif.com.tr

Related research

Keywords: Consumer prices; Inflation; Seasonal adjustment; Wavelet filters; Band pass filters;

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Cited by:
  1. Kurmas Akdogan & Selen Baser & Meltem Gulenay Chadwick & Dilara Ertug & Timur Hulagu & Sevim Kosem & Fethi Ogunc & M. Utku Ozmen & Necati Tekatli, 2012. "Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis," Working Papers 1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  2. Huseyin Cagri Akkoyun & Bahar Sen Dogan & Mahmut Gunay, 2011. "Turkiye Ekonomisi Is Cevrimlerinin Kuresel Ekonomi ile Iliskisi," CBT Research Notes in Economics 1119, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

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