Measuring Inflation Uncertainty in Turkey

Eda Gulsen () and Hakan Kara

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: Measuring and monitoring inflation uncertainty is an essential ingredient of monetary policy analysis. This study constructs survey measures of inflation uncertainty for the Turkish economy. Using density and point inflation forecasts in the CBRT Survey of Expectations, we derive various uncertainty measures through standard deviation, entropy, and disagreement among forecasters. Our results suggest that survey-based inflation uncertainty measures are broadly consistent with market-implied indicators of inflation risk. Moreover, we find that an increase in observed inflation is associated with higher inflation uncertainty across all empirical specifications.

Keywords: Inflation uncertainty; Inflation; Survey data; Density forecasts; Disagreement (search for similar items in EconPapers)
JEL-codes: C53 E31 E37 E58 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-ara, nep-bec, nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (4)

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Journal Article: Measuring inflation uncertainty in Turkey (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1912

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