The relationship between inflation and different sources of inflation uncertainty in Turkey

Telatar F., Telatar E.

APPLIED ECONOMICS LETTERS, cilt.10, sa.7, ss.431-435, 2003 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 7
  • Basım Tarihi: 2003
  • Doi Numarası: 10.1080/1350485032000066868
  • Dergi Adı: APPLIED ECONOMICS LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.431-435
  • Gazi Üniversitesi Adresli: Hayır

Özet

The relationship between inflation and different sources of inflation uncertainty is investigated in Turkey during the period of 1995:3-2000:12. A time-varying parameter model of inflation with heteroscedastic disturbances is used to generate different sources of inflation uncertainty and then Granger methods are employed to test for causality between inflation and different sources of inflation uncertainty. The findings show that there is a causative influence of inflation on its uncertainty arising due to time-varying parameters of the inflation model. No evidence is found on the correlation between inflation and inflation uncertainty arising due to heteroscedasticity in the disturbance terms.