The Time-Varying Effect of Inflation Uncertainty on Inflation for Turkey

Posted: 28 Jul 2018

See all articles by Serdar Varlik

Serdar Varlik

Hitit University

Volkan Ulke

Independent

Hakan Berument

Bilkent University - Department of Economics

Date Written: 2017

Abstract

We investigate the effect of inflation uncertainty on inflation from January 1982 through March 2016 for Turkey by using the Stochastic Volatility in Mean model with time-varying parameters. Our empirical evidence from consumer price index (CPI) inflation suggests that the observed positive relationship between inflation and inflation uncertainty is not robust. This positive relationship diminishes after 2002. This finding is valid for all five subcomponents of CPI inflation; however, for Health Services, Transportation Services, and Recreational and Cultural Services, an inflation-positive association is reported after 2010.

Keywords: Inflation, Inflation Uncertainty and TVP-SVM

JEL Classification: E31, C11, C15, C22

Suggested Citation

Varlik, Serdar and Ulke, Volkan and Berument, Hakan, The Time-Varying Effect of Inflation Uncertainty on Inflation for Turkey (2017). Applied Economics Letters, Vol. 24, No. 13, 2017, Available at SSRN: https://ssrn.com/abstract=3210237

Serdar Varlik

Hitit University ( email )

Corum
Turkey

Volkan Ulke

Independent ( email )

Hakan Berument (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

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