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Seasonality in inflation volatility: Evidence from Turkey

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Abstract

This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.

Suggested Citation

  • M. Hakan Berument & Afsin Sahin, 2010. "Seasonality in inflation volatility: Evidence from Turkey," Journal of Applied Economics, Universidad del CEMA, vol. 13, pages 39-65, May.
  • Handle: RePEc:cem:jaecon:v:13:y:2010:n:1:p:39-65
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    Cited by:

    1. Łukasz Lenart, 2017. "Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 9(1), pages 29-67, March.
    2. Radukić, Snežana & Marković, Milan, 2015. "Limitation Of Trade Margins As A Measure Of Food Price Controls: Experience Of Serbia," Economics of Agriculture, Institute of Agricultural Economics, vol. 62(1).
    3. Snežana Radukić & Milan Marković & Milica Radović, 2015. "The Effect of Food Prices on Inflation in the Republic of Serbia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 4(2), pages 23-36.

    More about this item

    Keywords

    inflation volatility; seasonality; EGARCH;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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