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Filtering short term fluctuations in inflation analysis

Author

Listed:
  • H. Çağrı AKKOYUN

    (TCMB)

  • Oğuz ATUK

    (TCMB)

  • N. Alpay KOÇAK

    (TÜİK)

  • M. Utku ÖZMEN

    (TCMB)

Abstract

Many economic time series, specifically inflation, are subject to seasonal fluctuations. Seasonal adjustment is a powerful tool for removing such fluctuations. Meanwhile, seasonal adjustment may provide highly volatile series, as it deals with certain type of movements completed on seasonal frequencies. However, short term fluctuations occurring at non-seasonal frequencies are also possible. In the context of inflation, we propose a two-step methodology combining wavelet and band-pass filters and aiming at removing all short term fluctuations within a year. This method yields much smoother series than seasonal adjustment provides. Moreover, filtered series capture the dynamics of inflation in subgroups well.

Suggested Citation

  • H. Çağrı AKKOYUN & Oğuz ATUK & N. Alpay KOÇAK & M. Utku ÖZMEN, 2012. "Filtering short term fluctuations in inflation analysis," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 27(319), pages 31-52.
  • Handle: RePEc:iif:iifjrn:v:27:y:2012:i:319:p:31-52
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    Cited by:

    1. Kufenko, Vadim, 2016. "Spurious periodicities in cliometric series: Simultaneous testing," Violette Reihe: Schriftenreihe des Promotionsschwerpunkts "Globalisierung und Beschäftigung" 48/2016, University of Hohenheim, Carl von Ossietzky University Oldenburg, Evangelisches Studienwerk.
    2. Öğünç, Fethi & Akdoğan, Kurmaş & Başer, Selen & Chadwick, Meltem Gülenay & Ertuğ, Dilara & Hülagü, Timur & Kösem, Sevim & Özmen, Mustafa Utku & Tekatlı, Necati, 2013. "Short-term inflation forecasting models for Turkey and a forecast combination analysis," Economic Modelling, Elsevier, vol. 33(C), pages 312-325.
    3. Huseyin Cagri Akkoyun & Bahar Sen Dogan & Mahmut Gunay, 2011. "Turkiye Ekonomisi Is Cevrimlerinin Kuresel Ekonomi ile Iliskisi," CBT Research Notes in Economics 1119, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

    More about this item

    Keywords

    Consumer prices; Inflation; Seasonal adjustment; Wavelet filters; Band pass filters;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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