Inflation and Inflation Uncertainty: Evidence from Turkey, 1923–2012

Bulent Dogru

MPRA Paper from University Library of Munich, Germany

Abstract: In this study, relationship between inflation and inflation uncertainty is analyzed using Granger causality tests with annual inflation series covering the time period 1923 to 2012 for Turkish Economy. Inflation uncertainty is measured by Exponential Generalized Autoregressive Conditional Heteroskedastic model. Econometric findings suggest that although in long run the Friedman's hypothesis that high inflation increases inflation uncertainty is strongly supported, in short run the Holland hypothesis proposing that the increase in the inflation uncertainty decreases inflation is also supported for Turkish Economy. We also make analysis for subsample periods selected due to the major policy changes in Turkish economic history. The causality between inflation and inflation uncertainty in these subsample periods is mixed and depends on time period analyzed.

Keywords: Inflation Uncertainty; Conditional Variance; Granger Causality; Exponential Generalized Autoregressive Conditional Heteroskedastic Model (search for similar items in EconPapers)
JEL-codes: C32 E31 (search for similar items in EconPapers)
Date: 2013-06-14
New Economics Papers: this item is included in nep-ara, nep-cba, nep-cwa, nep-his, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:51232

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