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

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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