New Time Series Evidence for the Causality Relationship between Inflation and Inflation Uncertainty in the Turkish Economy

Cem SAATCİOĞLU, Levent KORAP

Öz


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.

Anahtar Kelimeler


Inflation; Inflation Uncertainty; Granger Causality Analysis; EGARCH Modelling; Impulse Response Analysis

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Doğuş Üniversitesi Dergisi'nin içeriği Creative Commons Atıf-Gayriticari 4.0 Uluslararası Lisansı ile lisanslanmıştır.
 

İletişim:

Doğuş Üniversitesi Dergisi
Acıbadem Zeamet Sokak, No: 21
34722 - Kadıköy, İSTANBUL
E-posta: journal@dogus.edu.tr