Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel Data
This study investigates the causal relationship between inflation and relative price variability in Turkey for the period of January 2003-January 2014, by using panel data. In the study, a Granger (1969) non-causality test in heterogeneous panel data models developed by Dumitrescu and Hurlin (2012)...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Editura ASE Bucuresti
2016-06-01
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| Series: | Romanian Economic Journal |
| Subjects: | |
| Online Access: | http://www.rejournal.eu/article/causal-relationship-between-relative-price-variability-and-inflation-turkeyevidence-panel |
| _version_ | 1818189353471442944 |
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| author | Nebiye Yamak Sinem Kocak Fatma Kolcu |
| author_facet | Nebiye Yamak Sinem Kocak Fatma Kolcu |
| author_sort | Nebiye Yamak |
| collection | DOAJ |
| description | This study investigates the causal relationship between inflation and relative price variability in Turkey for the period of January 2003-January 2014, by using panel data. In the study, a Granger (1969) non-causality test in heterogeneous panel data models developed by Dumitrescu and Hurlin (2012) is utilized to determine the causal relations between inflation rate relative price variability. The panel data consists of 4123 observations: 133 time observations and 31 cross-section observations. The results of panel causality test indicate that there is a bidirectional causality between inflation rate and relative price variability by not supporting the imperfection information model of Lucas and the menu cost model of Ball and Mankiw. |
| first_indexed | 2024-12-11T23:41:28Z |
| format | Article |
| id | doaj.art-06d57997ab8d4bbd9dc6ebd76e7d1399 |
| institution | Directory Open Access Journal |
| issn | 1454-4296 2286-2056 |
| language | English |
| last_indexed | 2024-12-11T23:41:28Z |
| publishDate | 2016-06-01 |
| publisher | Editura ASE Bucuresti |
| record_format | Article |
| series | Romanian Economic Journal |
| spelling | doaj.art-06d57997ab8d4bbd9dc6ebd76e7d13992022-12-22T00:45:43ZengEditura ASE BucurestiRomanian Economic Journal1454-42962286-20562016-06-01XIX60183198Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel DataNebiye Yamak0Sinem Kocak 1Fatma Kolcu 2The Department of Economics, Karadeniz Technical University, Trabzon/ Turkey, e-mail: nyamak@ktu.edu.trThe Department of Econometrics, Karadeniz, e-mail: sinemkocak@ktu.edu.trKaradeniz Technical University, Trabzon/ Turkey, email: fatmakolcu@hotmail.comThis study investigates the causal relationship between inflation and relative price variability in Turkey for the period of January 2003-January 2014, by using panel data. In the study, a Granger (1969) non-causality test in heterogeneous panel data models developed by Dumitrescu and Hurlin (2012) is utilized to determine the causal relations between inflation rate relative price variability. The panel data consists of 4123 observations: 133 time observations and 31 cross-section observations. The results of panel causality test indicate that there is a bidirectional causality between inflation rate and relative price variability by not supporting the imperfection information model of Lucas and the menu cost model of Ball and Mankiw.http://www.rejournal.eu/article/causal-relationship-between-relative-price-variability-and-inflation-turkeyevidence-panelVariability HypothesisInflation RateRelative Price VariabilityPanel Causality |
| spellingShingle | Nebiye Yamak Sinem Kocak Fatma Kolcu Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel Data Romanian Economic Journal Variability Hypothesis Inflation Rate Relative Price Variability Panel Causality |
| title | Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel Data |
| title_full | Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel Data |
| title_fullStr | Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel Data |
| title_full_unstemmed | Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel Data |
| title_short | Causal Relationship Between Relative Price Variability and Inflation in Turkey: Evidence from Panel Data |
| title_sort | causal relationship between relative price variability and inflation in turkey evidence from panel data |
| topic | Variability Hypothesis Inflation Rate Relative Price Variability Panel Causality |
| url | http://www.rejournal.eu/article/causal-relationship-between-relative-price-variability-and-inflation-turkeyevidence-panel |
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