Filtering short term fluctuations in inflation analysis
AbstractMany 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 InfoArticle provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.
Volume (Year): 27 (2012)
Issue (Month): 319 ()
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Web page: http://iif.com.tr
Consumer prices; Inflation; Seasonal adjustment; Wavelet filters; Band pass filters;
Other versions of this item:
- H. Cagri Akkoyun & Oguz Atuk & N. Alpay Kocak & M. Utku Ozmen, 2011. "Filtering Short Term Fluctuations in Inflation Analysis," Working Papers 1120, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
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- 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,"
1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Öğünç, Fethi & Akdoğan, Kurmaş & Başer, Selen & Chadwick, Meltem Gülenay & Ertuğ, Dilara & Hülagü, Timur & Kösem, Sevim & Özmen, Mustafa Utku & Tekatlı, Necati, 2013. "Short-term inflation forecasting models for Turkey and a forecast combination analysis," Economic Modelling, Elsevier, vol. 33(C), pages 312-325.
- Huseyin Cagri Akkoyun & Bahar Sen Dogan & Mahmut Gunay, 2011. "Turkiye Ekonomisi Is Cevrimlerinin Kuresel Ekonomi ile Iliskisi," CBT Research Notes in Economics, Research and Monetary Policy Department, Central Bank of the Republic of Turkey 1119, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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