New time series evidence for the causality relationship between inflation and inflation uncertainty in the Turkish economy
AbstractThis paper aims to investigate the relationship between inflation and inflation uncertainty in the Turkish economy by using contemporaneous Exponential GARCH (EGARCH) estimation methodology. Our findings indicate that inflation leads to inflation uncertainty, and dealing with the information content of this relationship, the conditional variance of inflation reacts more to past positive shocks than to negative innovations of equal size. Causality analysis between inflation and inflation uncertainty reveals that inflation Granger- causes, or in other words, precedes inflation uncertainty, but no clear-cut and significant evidence in the opposite direction can be obtained. Furthermore, generalized impulse response analysis estimated in a vector autoregressive framework yields supportive results to these findings.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19246.
Date of creation: Jul 2009
Date of revision:
Publication status: Published in Doğuş University Journal 2.10(2009): pp. 235-248
Inflation ; Inflation uncertainty; Granger causality analysis ; EGARCH modelling ; Impulse response analysis ;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
- NEP-ARA-2009-12-19 (MENA - Middle East & North Africa)
- NEP-CWA-2009-12-19 (Central & Western Asia)
- NEP-MAC-2009-12-19 (Macroeconomics)
- NEP-MON-2009-12-19 (Monetary Economics)
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