Explaining and Forecasting Inflation in Turkey
The growing adoption of an inflation targeting framework in emerging market economies has increased the importance of understanding inflation dynamics and forecasting its future path in these countries. The author considers the case of Turkey and investigates the performance of models that have some theoretical foundations. To this end, his study focuses on mark-up models, monetary models, and the Phillips curve. The findings suggest that the mark-up models have the best in-sample performance followed by money gap models and the Phillips curve. The empirical results from out-of-sample forecasting performance for the period covering the new economic program (May 2001-December 2002), however, show that the Phillips curve and the money gap models perform better than mark-up models. These findings, in turn, imply that (1) Phillips curves augmented with the exchange rate and money models might provide complementary views in the Turkish context; and (2) the relative importance of output gap and monetary disequilibrium in the inflation process has increased under the floating exchange rate regime. The results underscore the importance of relying on multiple models of inflation in the conduct of Turkish monetary policy.
(This abstract was borrowed from another version of this item.)
|Date of creation:||2003|
|Date of revision:|
|Contact details of provider:|| Postal: Head Office, Istiklal Cad. 10 Ulus, 06100 Ankara|
Phone: (90 312) 507 5000
Fax: (90 312) 507 5640
Web page: http://www.tcmb.gov.tr
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stanley Fischer & Ratna Sahay & Carlos A. Vegh, 2002.
"Modern Hyper- and High Inflations,"
NBER Working Papers
8930, National Bureau of Economic Research, Inc.
- Robert J. Gordon, 1996.
"The Time-Varying NAIRU and its Implications for Economic Policy,"
NBER Working Papers
5735, National Bureau of Economic Research, Inc.
- Robert J. Gordon, 1997. "The Time-Varying NAIRU and Its Implications for Economic Policy," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 11-32, Winter.
- Gordon, Robert J, 1996. "The Time-varying NAIRU and its Implications for Economic Policy," CEPR Discussion Papers 1492, C.E.P.R. Discussion Papers.
- Ben S.C. Fung & Marcel Kasumovich, 1997.
"Monetary Shocks in the G-6 Countries: Is There a Puzzle?,"
Staff Working Papers
97-7, Bank of Canada.
- Fung, Ben Siu-cheong & Kasumovich, Marcel, 1998. "Monetary shocks in the G-6 countries: Is there a puzzle?," Journal of Monetary Economics, Elsevier, vol. 42(3), pages 575-592, October.
- Armour, J. & Atta-Mensah, J. & Engert, W. & Hendry, S., 1996. "A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria," Staff Working Papers 96-5, Bank of Canada.
- Hallman, Jeffrey J & Porter, Richard D & Small, David H, 1991. "Is the Price Level Tied to the M2 Monetary Aggregate in the Long Run?," American Economic Review, American Economic Association, vol. 81(4), pages 841-58, September.
- Eva Gutierrez, 2003. "Inflation Performance and Constitutional Central Bank Independence; Evidence From Latin America and the Caribbean," IMF Working Papers 03/53, International Monetary Fund.
- Kibritçioğlu, Aykut, 2002.
"Causes of Inflation in Turkey: A Literature Survey with Special Reference to Theories of Inflation,"
EconStor Open Access Articles,
ZBW - German National Library of Economics, pages 43-76.
- Aykut Kibritcioglu, 2001. "Causes of Inflation in Turkey: A Literature Survey with Special Reference to Theories of Inflation," Economics Bulletin, AccessEcon, vol. 28(21), pages A0.
- Aykut Kibritcioglu, 2001. "Causes of Inflation in Turkey: A Literature Survey with Special Reference to Theories of Inflation," Macroeconomics 0107002, EconWPA, revised 10 Oct 2001.
- Carlos José García & Jorge Enrique Restrepo, 2001. "Price Inflation and Exchange Rate Pass-Through in Chile," Working Papers Central Bank of Chile 128, Central Bank of Chile.
- Ilker Domac & Mohsen Bahmani-Oskooee, 2002. "between Dollarization and Inflation : Evidence from Turkey," Discussion Papers 0207, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Engert, Walter & Hendry, Scott, 1998. "Forecasting Inflation with the M1-VECM: Part Two," Staff Working Papers 98-6, Bank of Canada.
- Alan S. Blinder, 1999. "Central Banking in Theory and Practice," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262522608, March.
- Jordi Gali & Mark Gertler & J. David Lopez-Salido, 2001.
"European Inflation Dynamics,"
NBER Working Papers
8218, National Bureau of Economic Research, Inc.
- Pesaran, M.H. & Shin, Y., 1995. "An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis," Cambridge Working Papers in Economics 9514, Faculty of Economics, University of Cambridge.
- Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992.
"The Power of Cointegration Tests,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
- David T. Coe & C. John McDermott, 1997.
"Does the Gap Model Work in Asia?,"
IMF Staff Papers,
Palgrave Macmillan, vol. 44(1), pages 59-80, March.
- Marco Terrones & Luis CatÃ£o, 2001. "Fiscal Deficits and Inflation; A New Look at the Emerging Market Evidence," IMF Working Papers 01/74, International Monetary Fund.
- Tim Callen & Dongkoo Chang, 1999. "Modeling and Forecasting Inflation in India," IMF Working Papers 99/119, International Monetary Fund.
- Pesaran, M. H. & Shin, Y. & Smith, R. J., 1996. "Testing for the 'Existence of a Long-run Relationship'," Cambridge Working Papers in Economics 9622, Faculty of Economics, University of Cambridge.
- Jeannine Bailliu & Daniel Garcés & Mark Kruger & Miguel Messmacher, 2003. "Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico," Staff Working Papers 03-17, Bank of Canada.
- Perron, P, 1988.
"The Great Crash, The Oil Price Shock And The Unit Root Hypothesis,"
338, Princeton, Department of Economics - Econometric Research Program.
- Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
- Lucas, Robert E, Jr, 1996. "Nobel Lecture: Monetary Neutrality," Journal of Political Economy, University of Chicago Press, vol. 104(4), pages 661-82, August.
- Prakash Loungani & Phillip L Swagel, 2001. "Sources of Inflation in Developing Countries," IMF Working Papers 01/198, International Monetary Fund.
- Scott Hendry, 1995. "Long-Run Demand for M1," Macroeconomics 9511001, EconWPA.
- Gunnar Jonsson, 1999. "Inflation, Money Demand, and Purchasing Power Parity in South Africa," IMF Working Papers 99/122, International Monetary Fund.
- Francisco d Nadal De Simone, 2000. "Forecasting Inflation in Chile Using State-Space and Regime-Switching Models," IMF Working Papers 00/162, International Monetary Fund.
- Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- M S Mohanty & Marc Klau, 2001. "What determines inflation in emerging market economies?," BIS Papers chapters, in: Bank for International Settlements (ed.), Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries, volume 8, pages 1-38 Bank for International Settlements.
- De Haan, Jakob & Zelhorst, Dick, 1990. "The impact of government deficits on money growth in developing countries," Journal of International Money and Finance, Elsevier, vol. 9(4), pages 455-469, December.
- Carlos José García T. & Jorge Enrique Restrepo, 2003. "Price Inflation and Exchange Rate Pass-Trough in Chile," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 69-88, January-J.
- Nicoletti-Altimari, Sergio, 2001. "Does money lead inflation in the euro area?," Working Paper Series 0063, European Central Bank.
- Laurence Boone & Michel Juillard & Doug Laxton & Papa N'Diaye, 2002. "How Well Do Alternative Time-Varying Parameter Models of the NAIRU Help Policymakers Forecast Unemployment and Inflation in the OECD Countries?," Computing in Economics and Finance 2002 359, Society for Computational Economics.
When requesting a correction, please mention this item's handle: RePEc:tcb:wpaper:0306. 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: (Ozlem Ekmekciler Ramalho Rocha)or (Ilker Cakar)
If references are entirely missing, you can add them using this form.