New time series evidence for the causality relationship between inflation and inflation uncertainty in the Turkish economy

Levent Korap () and Cem Saatçioğlu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper aims to investigate the relationship between inflation and inflation uncertainty in the Turkish economy by using contemporaneous Exponential GARCH (EGARCH) estimation methodology. Our findings indicate that inflation leads to inflation uncertainty, and dealing with the information content of this relationship, the conditional variance of inflation reacts more to past positive shocks than to negative innovations of equal size. Causality analysis between inflation and inflation uncertainty reveals that inflation Granger- causes, or in other words, precedes inflation uncertainty, but no clear-cut and significant evidence in the opposite direction can be obtained. Furthermore, generalized impulse response analysis estimated in a vector autoregressive framework yields supportive results to these findings.

Keywords: Inflation; Inflation uncertainty; Granger causality analysis; EGARCH modelling; Impulse response analysis (search for similar items in EconPapers)
JEL-codes: C32 C51 E31 (search for similar items in EconPapers)
Date: 2009-07
New Economics Papers: this item is included in nep-ara, nep-cwa, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Doğuş University Journal 2.10(2009): pp. 235-248

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19246

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