On the links between inflation, output growth and uncertainty: system-GARCH evidence from the Turkish economy

Levent Korap ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this study, the causal relationships between inflation, output growth and uncertainty have been re-examined for the Turkish economy. Based on the system-GARCH methodology, estimation results reveal that for the 1987M01 2008M09 investigation period with monthly data, the mutual Granger causality between inflation and inflation uncertainty cannot be rejected in a positive way. For the output growth and its uncertainty relationship, it is observed that the larger the output growth the lower the output growth uncertainty. Some evidence have also been obtained in favor of that an increase in inflation uncertainty lowers output growth and that an increase in the latter lowers the former. Furthermore, an increase in output growth uncertainty is likely to lead to more inflation. A sensitivity analysis implemented for the post-2001 period supports to a great extent these results. Consequently, it is inferred that policies aiming at reducing inflation would lead to a more efficient functioning of the price system, and this would contribute to the real output growth.

Keywords: Inflation; Output growth; System-GARCH; Turkish economy (search for similar items in EconPapers)
JEL-codes: C32 C51 E31 (search for similar items in EconPapers)
Date: 2009-12
New Economics Papers: this item is included in nep-ara, nep-cwa and nep-fdg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in İktisat İşletme ve Finans 285.24(2009): pp. 89-110

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Journal Article: On the links between inflation, output growth and uncertainty: System-GARCH evidence from the Turkish economy (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19054

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