New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy

CEM SAATCİOĞLU, (İstanbul Üniversitesi, Ekonomi Fakültesi, İstanbul, Türkiye)
Levent KORAP (İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul, Türkiye)
Doğuş Üniversitesi Dergisi
2 0
Yıl: 2009 Cilt: 10 Sayı: 2 Sayfa Aralığı: 235 - 248 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy

Öz:
ÖZET: Bu çalışmada, Türkiye ekonomisinde enflasyon ve enflasyon belirsizliği arasındaki ilişki çağdaş Üssel GARCH (EGARCH) tahmin yöntemi kullanılarak incelenmeye çalışılmaktadır. Bulgularımız enflasyonun enflasyon belirsizliğine yol açtığını göstermekte ve bu ilişkinin bilgi içeriğiyle ilgili olarak, enflasyonun koşullu varyansı geşmiş pozitif şoklara aynı büyüklükteki negatif değişikliklerden daha fazla tepki vermektedir. Enflasyon ve enflasyon belirsizliği arasındaki nedensellik çözümlemesi enflasyonun enflasyon belirsizliğinin Granger-nedeni olduğunu, diğer bir deyişle, enflasyon belirsizliğini öncelediğini ortaya koymakta, fakat ters yönlü kesin ve anlamlı bir bulgu elde edilememektedir. Ayrıca, bir vektör ardışık bağlanım yapısı içerisinde tahmin edilen genelleştirilmiş etki tepki çözümlemesi bu bulguları destekleyici sonuçlar üretmektedir.
Anahtar Kelime: enflasyon belirsizlik garch modelleri Granger nedensellik testi etki tepki analizi

Konular: İşletme İktisat

Türkiye ekonomisinde enflasyon ve enflasyon belirsizliği arasındaki nedensellik ilişkisi için yeni zaman serisi bulguları

Öz:
ABTRACT: 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.
Anahtar Kelime: garch models Granger causality test impulse response analysis inflation uncertainty

Konular: İşletme İktisat
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA SAATCİOĞLU C, Korap L (2009). New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. , 235 - 248.
Chicago SAATCİOĞLU CEM,Korap Levent New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. (2009): 235 - 248.
MLA SAATCİOĞLU CEM,Korap Levent New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. , 2009, ss.235 - 248.
AMA SAATCİOĞLU C,Korap L New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. . 2009; 235 - 248.
Vancouver SAATCİOĞLU C,Korap L New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. . 2009; 235 - 248.
IEEE SAATCİOĞLU C,Korap L "New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy." , ss.235 - 248, 2009.
ISNAD SAATCİOĞLU, CEM - Korap, Levent. "New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy". (2009), 235-248.
APA SAATCİOĞLU C, Korap L (2009). New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. Doğuş Üniversitesi Dergisi, 10(2), 235 - 248.
Chicago SAATCİOĞLU CEM,Korap Levent New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. Doğuş Üniversitesi Dergisi 10, no.2 (2009): 235 - 248.
MLA SAATCİOĞLU CEM,Korap Levent New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. Doğuş Üniversitesi Dergisi, vol.10, no.2, 2009, ss.235 - 248.
AMA SAATCİOĞLU C,Korap L New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. Doğuş Üniversitesi Dergisi. 2009; 10(2): 235 - 248.
Vancouver SAATCİOĞLU C,Korap L New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy. Doğuş Üniversitesi Dergisi. 2009; 10(2): 235 - 248.
IEEE SAATCİOĞLU C,Korap L "New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy." Doğuş Üniversitesi Dergisi, 10, ss.235 - 248, 2009.
ISNAD SAATCİOĞLU, CEM - Korap, Levent. "New time series evidence for the causalıty relationship between inflation and inflation uncertainty in the Turkish economy". Doğuş Üniversitesi Dergisi 10/2 (2009), 235-248.
Sayfa Oluşturulma Tarihi
16-04-2024 21:21

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