THRESHOLD GARCH MODELING OF THE INFLATION & INFLATION UNCERTAINTY RELATIONSHIP: HISTORICAL EVIDENCE FROM THE TURKISH ECONOMY

Year 2010, Volume: 60 Issue: 2, 157 - 172, 09.06.2011

Levent Korap

Abstract

In this paper, the preceding / causal relationships between inflation and
inflation uncertainty have been tried to be examined for the Turkish economy.
Dealing with the information content of this relationship, we estimate that positive
inflationary shocks are associated with statistically significant and quantitatively
larger levels of inflation uncertainty than are negative shocks. Our estimation
results indicate that inflation in fact leads to inflation uncertainty in line with the
Friedman-Ball hypotheses. However, our findings contradict the CukiermanMeltzer hypotheses that inflation uncertainty leads to inflation in a positive way.
We find that the larger the inflation uncertainty the lower would likely to be the
level of inflation

Keywords

Inflation, Inflation Uncertainty, Threshold GARCH Modeling, Granger Causality Analysis, Turkish Economy, JEL Classification, C32; C51; E31

THRESHOLD GARCH MODELING OF THE INFLATION & INFLATION UNCERTAINTY RELATIONSHIP: HISTORICAL EVIDENCE FROM THE TURKISH ECONOMY

Abstract

Bu çalışmada, enflasyon ve enflasyon belirsizliği arasındaki önceleme /
nedensellik ilişkilerinin Türkiye ekonomisi için incelenmesine çalışılmıştır. Bu
ilişkinin bilgi içeriğiyle ilgili olarak, pozitif enflasyonist şokların negative şoklara
göre istatistiksel olarak anlamlı ve miktar olarak daha fazla bir şekilde enflasyon
belirsizliği ile özdeşleştiği tahmin edilmektedir. Tahmin sonuçlarımız enflasyonun
Friedman-Ball varsayımları doğrultusunda gerçekten de enflasyon belirsizliğine
yol açtığını göstermektedir. Bununla birlikte, bulgularımız enflasyon
belirsizliğinin pozitif bir şekilde enflasyona yol açtığı şeklindeki Cukierman-Meltzer
varsayımları ile çelişmektedir. Daha fazla enflasyon belirsizliğinin
enflasyon düzeyindeki olası bir azalma ile birlikte gerçekleştiği bulgusuna
ulaşılmıştır.

Keywords

Enflasyon, Enflasyon Belirsizliği, Eşik GARCH Modellemesi, Graner Nedensellik Çözümlemesi, Türkiye Ekonomisi, JEL Sınıflaması: C32, C51, E31

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