Yuksek Enflasyon Enflasyon Belirsizligini Artiriyor mu?

Res. Ass. Sabiha OLTULULAR; Prof. Dr. Harun Terzi
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Res. Ass. Sabiha OLTULULAR; Prof. Dr. Harun Terzi: Ataturk University; Karadeniz Technical University
Authors registered in the RePEc Author Service: Sabiha Oltulular and Harun Terzi

Istanbul University Econometrics and Statistics e-Journal, 2006, vol. 3, issue 1, 1-22

Abstract: In this study, the relation between inflation and inflation uncertainty was examined for the period of 1987:1-2005:6 monthly for the Turkish economy. EGARCH was utilized to get inflation uncertainty. Although there is a bi-directional causality relation between the variables according to Hsiao and Granger approaches, the sign of causality running from inflation uncertainty to inflation as to Granger causality test is not significant. VAR analysis shows that there exist a uni-directional causality relation running from inflation to inflation uncertainty. Shortly, inflation has a strong effect on inflation uncertainty. Achieved empirical results from Granger causality test and VAR analyses support the Friedman-Ball hypothesis in that period.

Keywords: Inflation; inflation uncertainty; EGARCH; unit root; causality; Granger; VAR. (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ist:ancoec:v:3:y:2006:i:1:p:1-22

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