Doğuş Üniversitesi Dergisi

Doğuş Üniversitesi Dergisi

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

Yazarlar: Cem SAATCİOĞLU, Levent KORAP

Cilt 10 , Sayı 2 , 2009 , Sayfalar -

Konular:-

Anahtar Kelimeler:Inflation,Inflation Uncertainty,Granger Causality Analysis,EGARCH Modelling,Impulse Response Analysis

Özet: 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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@article{2009, title={New Time Series Evidence for the Causality Relationship between Inflation and Inflation Uncertainty in the Turkish Economy}, volume={10}, publisher={Doğuş Üniversitesi Dergisi}, author={Cem SAATCİOĞLU, Levent KORAP}, year={2009} }
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Cem SAATCİOĞLU, Levent KORAP. (2009). New Time Series Evidence for the Causality Relationship between Inflation and Inflation Uncertainty in the Turkish Economy (Vol. 10). Vol. 10. Doğuş Üniversitesi Dergisi.
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Cem SAATCİOĞLU, Levent KORAP. New Time Series Evidence for the Causality Relationship between Inflation and Inflation Uncertainty in the Turkish Economy. no., Doğuş Üniversitesi Dergisi, 2009.
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