New Time Series Evidence for the Causality Relationship between Inflation and Inflation Uncertainty in the Turkish Economy
Year: 2009
Type: article
Abstract: 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.
Source: Doğuş Üniversitesi Dergisi
Authors: Cem SAATCİOĞLU, Levent KORAP
Institution: Istanbul University
Language: English
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W1808913526