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New time series evidence for the causality relationship between inflation and inflation uncertainty in the Turkish economy

  • Korap, Levent
  • Saatçioğlu, Cem

This paper aims to investigate the relationship between inflation and inflation uncertainty in the Turkish economy by using contemporaneous Exponential GARCH (EGARCH) estimation methodology. Our findings indicate that inflation leads to inflation uncertainty, and dealing with the information content of this relationship, the conditional variance of inflation reacts more to past positive shocks than to negative innovations of equal size. Causality analysis between inflation and inflation uncertainty reveals that inflation Granger- causes, or in other words, precedes inflation uncertainty, but no clear-cut and significant evidence in the opposite direction can be obtained. Furthermore, generalized impulse response analysis estimated in a vector autoregressive framework yields supportive results to these findings.

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File URL: https://mpra.ub.uni-muenchen.de/19246/1/MPRA_paper_19246.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 19246.

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Date of creation: Jul 2009
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Publication status: Published in Doğuş University Journal 2.10(2009): pp. 235-248
Handle: RePEc:pra:mprapa:19246
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  1. Davis, George K & Kanago, Bryce E, 2000. "The Level and Uncertainty of Inflation: Results from OECD Forecasts," Economic Inquiry, Western Economic Association International, vol. 38(1), pages 58-72, January.
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  21. repec:bil:bilpap:971 is not listed on IDEAS
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