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An Econometric Investigation on the Relationship between Inflation and Inflation Uncertainty: The Case Study of Turkey

Author

Listed:
  • Naib Alakbarov

    (Usak University)

  • Akın Gök

    (Usak University)

Abstract

The purpose of this study is to analyze the relationship between inflation uncertainty and inflation, which is an important issue in the economic literature. In the study using monthly data for the 2003-2018 period, the impact on inflation of inflation uncertainty in Turkey are examined. In this study, the uncertainty of inflation was obtained with the variance series obtained from the EGARCH model estimates for autoregressive inflation models. The relationship between inflation uncertainty and inflation series is estimated by VAR model. According to the results, inflation uncertainty in Turkey has a positive effect on inflation. Moreover, it is concluded that inflation uncertainty triggers inflation uncertainty and causes high inflation. According to the results of the study, the development of policies by the central bank or economic authority to reduce inflation uncertainty will have a positive effect on inflation.

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Handle: RePEc:bau:ijaefs:v:5:y:2020:i:1:id:163
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