The relationship between inflation and inflation uncertainty in Turkey

Erdem Havvanur Feyza and Yamak Rahmi
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Erdem Havvanur Feyza: Karadeniz Technical University
Yamak Rahmi: Karadeniz Technical University

Экономика региона, 2014, issue 4, 246-254

Abstract: In economic literature, the idea that inflation increases inflation uncertainty, starting by Okun (1971) and later resuming as Friedman Ball Hypothesis, has created new discussions about the degree and the direction of the relationship between both variables. The aim of this study is to investigate the causal relationship between inflation and inflation uncertainty and compare the causal relationship for high and low inflation periods in Turkish Economy. The data used in the study are monthly and cover the period of1988-2010. The whole period has been divided into two sub-periods as 1988-2004 and 2004-2010 to compare high and low inflation periods. In this study, in order to get data on the inflation uncertainty, the optimal ARIMA model was estimated by using Kalman Filter analysis technique. The relationship between inflation and inflation uncertainty was finally tested by using Granger Causality analysis for two periods.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:scn:015306:15715695

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