Inflation and Inflation Uncertainty: Evidence from Turkey, 1923–2012
AbstractIn this study, relationship between inflation and inflation uncertainty is analyzed using Granger causality tests with annual inflation series covering the time period 1923 to 2012 for Turkish Economy. Inflation uncertainty is measured by Exponential Generalized Autoregressive Conditional Heteroskedastic model. Econometric findings suggest that although in long run the Friedman's hypothesis that high inflation increases inflation uncertainty is strongly supported, in short run the Holland hypothesis proposing that the increase in the inflation uncertainty decreases inflation is also supported for Turkish Economy. We also make analysis for subsample periods selected due to the major policy changes in Turkish economic history. The causality between inflation and inflation uncertainty in these subsample periods is mixed and depends on time period analyzed.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 51232.
Date of creation: 14 Jun 2013
Date of revision:
Inflation Uncertainty; Conditional Variance; Granger Causality; Exponential Generalized Autoregressive Conditional Heteroskedastic Model;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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-2013-11-14 (All new papers)
- NEP-ARA-2013-11-14 (MENA - Middle East & North Africa)
- NEP-CBA-2013-11-14 (Central Banking)
- NEP-CWA-2013-11-14 (Central & Western Asia)
- NEP-HIS-2013-11-14 (Business, Economic & Financial History)
- NEP-MAC-2013-11-14 (Macroeconomics)
- NEP-MON-2013-11-14 (Monetary Economics)
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