New Time Series Evidence for the Causality Relationship Between Inflation and Inflation Uncertainty in the Turkish Economy
Yazarlar (2)
Prof. Dr. Cem Saatcioğlu Türkiye
Doç. Dr. Hüseyin Levent KORAP Türkiye
| Makale Türü |
Özgün Makale
(Ulusal alan endekslerinde (TR Dizin, ULAKBİM) yayınlanan tam makale)
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| Dergi Adı | Doğuş University Journal | ||
| Dergi ISSN | 1302-6739 | ||
| Dergi Tarandığı Indeksler | Türkiye Makaleler Bibliyografyası, EBSCO Academic Search Complete, EconLit, Tübitak-ULAKBİM Sosyal ve Beşeri Bilimler Veri Tabanıi DOAJ (Directory of Open Access Journals, Open J-Gate, ASOS (Sosyal Bilimler İndeksi) | ||
| Makale Dili | İngilizce | Basım Tarihi | 01-2009 |
| Cilt / Sayı / Sayfa | 10 / 2 / 235–248 | DOI | – |
| Makale Linki | journal.dogus.edu.tr/index.php/duj/article/view/46 | ||
| UAK Araştırma Alanları |
Enflasyon
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| Özet |
| This paper aims to investigate the relationship between inflation and inflation uncertainty in the Turkish economy by using contemporaneous Exponential GARCH EGARCH estimation methodology. Our findings indicate that inflation leads to inflation uncertainty, and dealing with the information content of this relationship, the conditional variance of inflation reacts more to past positive shocks than to negative innovations of equal size. Causality analysis between inflation and inflation uncertainty reveals that inflation Granger- causes, or in other words, precedes inflation uncertainty, but no clear-cut and significant evidence in the opposite direction can be obtained. Furthermore, generalized impulse response analysis estimated in a vector autoregressive framework yields supportive results to these findings. |
| Anahtar Kelimeler |
