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The time-varying effect of inflation uncertainty on inflation for Turkey

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  • Serdar Varlik
  • Volkan Ulke
  • Hakan Berument

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.

Suggested Citation

  • Serdar Varlik & Volkan Ulke & Hakan Berument, 2017. "The time-varying effect of inflation uncertainty on inflation for Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 24(13), pages 961-967, July.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:13:p:961-967
    DOI: 10.1080/13504851.2016.1243206
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    Cited by:

    1. Terence D. Agbeyegbe, 2023. "The Link Between Output Growth and Output Growth Volatility: Barbados," Annals of Data Science, Springer, vol. 10(3), pages 787-804, June.
    2. Mehdi Hajamini, 2019. "Asymmetric Causality Between Inflation and Uncertainty: Evidences from 33 Developed and Developing Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 287-309, June.

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