The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey

Basit Öğe Kaydı
dc.contributor.authorApergis, Nicholas
dc.contributor.authorBulut, Umit
dc.contributor.authorUcler, Gulbahar
dc.contributor.authorOzsahin, Serife
dc.date.accessioned2024-02-23T14:24:32Z
dc.date.available2024-02-23T14:24:32Z
dc.date.issued2021
dc.departmentNEÜen_US
dc.description.abstractThe goal of this paper is to examine the relationship between inflation and inflation uncertainty for Turkey through monthly data spanning the period 2004:01-2019:12. To this end, the paper first builds the inflation uncertainty series using inflation data. Second, it examines the cointegration relationship between inflation and inflation uncertainty. Finally, it searches for causal relationships between inflation and inflation uncertainty. The paper employs econometric methods which explicitly consider structural breaks. After examining the inflation-inflation uncertainty nexus for the whole sample, the analysis also investigates this relationship in two subperiods, i.e., 2004:5-2010:10 and 2010:11:2019:12 considering the change in the monetary policy framework of the Central Bank of the Republic of Turkey (CBRT). The findings provide evidence that there exists unidirectional causality running from inflation to inflation uncertainty for both the whole sample and the second subperiod, while there is no causality between inflation and inflation uncertainty for the first subperiod. Overall, the results show that during the second subperiod (i) when the CBRT tried to achieve not only price stability, but also financial stability and (ii) when the inflation rate is more volatile and higher, the increase in the inflation rate results in an increase in inflation uncertainty.en_US
dc.identifier.doi10.1111/manc.12361
dc.identifier.endpage275en_US
dc.identifier.issn1463-6786
dc.identifier.issn1467-9957
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85101930650en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.startpage259en_US
dc.identifier.urihttps://doi.org/10.1111/manc.12361
dc.identifier.urihttps://hdl.handle.net/20.500.12452/13997
dc.identifier.volume89en_US
dc.identifier.wosWOS:000624948100001en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.relation.ispartofManchester Schoolen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectInflationen_US
dc.subjectInflation Uncertaintyen_US
dc.subjectTurkeyen_US
dc.subjectNew Causality Testen_US
dc.subjectStructural Breaksen_US
dc.titleThe causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkeyen_US
dc.typeArticleen_US

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