The Relationship Between Output Growth And Inflation: Evidence From Turkey
AbstractIn this study, a bi-variate Generalized Autoregressive Conditional Heteroscedasticty model is used in order to investigate the Granger causality relationships between output growth, inflation rate and their uncertainties. Our test results show that the existence of Granger-causality is observed from nominal uncertainty to inflation, from nominal uncertainty to real uncertainty, from output growth to real uncertainty, from output growth to nominal uncertainty and from inflation to nominal uncertainty. These findings prove that theoretical predictions of Cuikerman and Meltzer (1986), Okun (1971) and Friedman (1977) are valid for the period 1986, 6 - 2007, 1 for Turkey. On the other hand, â€˜Short-run Phillips Curveâ€™ and â€˜Taylor Effectâ€™ have proven empirically to be invalid for Turkey for this sample period. Moreover, we deduce that Turkish inflation is affected by the output growth through the nominal uncertainty channel.
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Bibliographic InfoArticle provided by Spiru Haret University, Faculty of Financial Management and Accounting Craiova in its journal Journal of Applied Economic Sciences.
Volume (Year): 5 (2010)
Issue (Month): 1(11)_Spring2010 ()
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Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
More information through EDIRC
inflation; output growth; uncertainty; Granger-causality; bi-variate GARCH;
Other versions of this item:
- Omay, Tolga & Aluftekin, Nilay & Karadagli, Ece C., 2009. "The relationship between output growth and inflation: Evidence from Turkey," MPRA Paper 19953, University Library of Munich, Germany.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E0 - Macroeconomics and Monetary Economics - - General
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