Seasonality in Inflation Volatility: Evidence from Turkey

M. Hakan Berument and Afsin Sahin

Journal of Applied Economics, 2010, vol. 13, issue 1, 39-65

Abstract: This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.

Date: 2010
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DOI: 10.1016/S1514-0326(10)60003-7

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