The Relationship Between Inflation And Inflation Uncertainty In Turkey
In economic literature, the idea that inflation increases inflation uncertainty, starting by Okun (1971) and later resuming as Friedman — Ball Hypothesis, has created new discussions about the degree and the direction of the relationship between both variables. The aim of this study is to investig...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Russian Academy of Sciences, Institute of Economics of the Ural Branch
2014-12-01
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| Series: | Экономика региона |
| Subjects: | |
| Online Access: | http://economyofregion.com/archive/2014/51/2470/pdf/ |
| Summary: | In economic literature, the idea that inflation increases inflation uncertainty, starting by Okun (1971) and
later resuming as Friedman — Ball Hypothesis, has created new discussions about the degree and the direction
of the relationship between both variables. The aim of this study is to investigate the causal relationship
between inflation and inflation uncertainty and compare the causal relationship for high and low inflation
periods in Turkish Economy. The data used in the study are monthly and cover the period of 1988-2010. The
whole period has been divided into two sub-periods as 1988-2004 and 2004-2010 to compare high and low
inflation periods. In this study, in order to get data on the inflation uncertainty, the optimal ARIMA model
was estimated by using Kalman Filter analysis technique. The relationship between inflation and inflation
uncertainty was finally tested by using Granger Causality analysis for two periods. |
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| ISSN: | 2072-6414 2411-1406 |