IDEAS home Printed from https://ideas.repec.org/a/iif/iifjrn/v27y2012i313p09-34.html
   My bibliography  Save this article

How does the performance of core inflation indicators differ in less stable times?

Author

Listed:
  • Oğuz ATUK

    (TCMB)

  • M. Utku ÖZMEN

    (TCMB)

  • Necati TEKATLI

    (TCMB)

Abstract

In this study, we discuss the overall performance of different core inflation measures for Turkey. We first describe and derive the core measures based on exclusion, statistical and model-based methods. We then compare their performances during the entire sample period of January 2003 – January 2011. Apart from the shocks that they are subject to, performance of core inflation measures depends also on the nature of the inflationary process. Therefore we evaluate the performance of measures period wise, for two subsample periods, one being relatively stable and other being less stable in terms of inflation process. We show that permanent exclusion based measures perform much better in stable times, while their performance deteriorate in less stable periods. Model based measures have a robust performance under both states. Statistical measures dominate in terms of their performance in predictive ability under both states and their trend tracking ability improves in less stable periods.

Suggested Citation

  • Oğuz ATUK & M. Utku ÖZMEN & Necati TEKATLI, 2012. "How does the performance of core inflation indicators differ in less stable times?," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 27(313), pages 09-34.
  • Handle: RePEc:iif:iifjrn:v:27:y:2012:i:313:p:09-34
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    Consumer prices; Core inflation; Inflation process; Stability;

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iif:iifjrn:v:27:y:2012:i:313:p:09-34. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ali Bilge). General contact details of provider: http://iif.com.tr .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.