The Time-Varying Effect of Inflation Uncertainty on Inflation for Turkey
Posted: 28 Jul 2018
Date Written: 2017
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: Suggested Citation