SEASONALITY IN INFLATION VOLATILITY: EVIDENCE FROM TURKEY

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BERUMENT M. H., Sahin A.

JOURNAL OF APPLIED ECONOMICS, cilt.13, sa.1, ss.39-65, 2010 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 13 Sayı: 1
  • Basım Tarihi: 2010
  • Doi Numarası: 10.1016/s1514-0326(10)60003-7
  • Dergi Adı: JOURNAL OF APPLIED ECONOMICS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.39-65
  • Gazi Üniversitesi Adresli: Evet

Özet

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.