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Measuring the Core Inflation in Turkey with the SM-AR Model

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  • Kulaksizoglu, Tamer

Abstract

This paper employs a new econometric technique to estimate the core inflation in Turkey measured as the shifting means in levels between 1955 and 2014. Using monthly series, we determine the number of shifts using the BIC, the hv-block cross-validation, the Lin-Teräsvirta parameter constancy test, and the neural networks test for neglected non-linearity. We find that there are at least three shifts in the inflation series. The findings help detect the exact dates of the shifts between different inflation regimes and the duration of each shift, which should be important information in evaluating the success of past economic policies in fighting inflation.

Suggested Citation

  • Kulaksizoglu, Tamer, 2015. "Measuring the Core Inflation in Turkey with the SM-AR Model," MPRA Paper 62653, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:62653
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    References listed on IDEAS

    as
    1. González Andrés & Teräsvirta Timo, 2008. "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-28, March.
    2. Dibooglu, Sel & Kibritcioglu, Aykut, 2004. "Inflation, output growth, and stabilization in Turkey, 1980-2002," Journal of Economics and Business, Elsevier, vol. 56(1), pages 43-61.
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    4. Pelin Berkmen, 2002. "Measuring Core Inflation for Turkey - Trimmed Means Approach," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 1-18.
    5. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009. "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers 2009-03, Department of Economics and Business Economics, Aarhus University.
    6. Kibritçioğlu, Aykut & Rittenberg, Libby & Selçuk, Faruk & Akçay, O. Cevdet & Alper, C. Emre & Berument, M. Hakan & Dibooğlu, Selahattin & Erlat, Haluk & Ertuğrul, Ahmet & Malatyalı, N. Kamuran & Nas, , 2002. "Inflation and Disinflation in Turkey," EconStor Books, ZBW - Leibniz Information Centre for Economics, number 110203, October.
    7. Oğuz ATUK & Mustafa Utku ÖZMEN, 2009. "A new approach to measuring core inflation for Turkey: SATRIM," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 24(285), pages 73-88.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Inflation; Shifting mean autoregressive model; Transition function;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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