SEASONALITY IN INFLATION VOLATILITY: EVIDENCE FROM TURKEY


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BERUMENT M. H. , Sahin A.

JOURNAL OF APPLIED ECONOMICS, vol.13, no.1, pp.39-65, 2010 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 13 Issue: 1
  • Publication Date: 2010
  • Doi Number: 10.1016/s1514-0326(10)60003-7
  • Title of Journal : JOURNAL OF APPLIED ECONOMICS
  • Page Numbers: pp.39-65

Abstract

This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.