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The Relationship Between Inflation and Inflation Uncertainty Under Different Monetary Policy Regimes

Bulent Dogru

Journal of BRSA Banking and Financial Markets, 2013, vol. 7, issue 2, 77-99

Abstract: The purpose of this study is to analyze the relationship inflation and inflation uncertainty of Turkey for four different monetary policy regimes using EGARCH and Granger causality methods over 1990: 1-2012: 12. I n t his s tudy, the monthly logarithmic difference of the Consumer Price Index (CPI) used. The econometric findings suggest that the hyothesis that high inflation reduces inflation uncertainty is strongly supported both for short and longterm in Turkey for the time period 1990 and 2012. Furthermore, in Turkey for each monetary policy regimes in the short-term inflation uncertainty plays a role in increasing inflation in Turkey.

Keywords: EGARCH; Inflation; Inflation Uncertainty; Monetary Policy Regimes (search for similar items in EconPapers)
JEL-codes: C32 E31 (search for similar items in EconPapers)
Date: 2013
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