SEASONALITY IN INFLATION VOLATILITY: EVIDENCE FROM TURKEY

被引：6

作者：

Berument, M. Hakan ^{[1
]}

Sahin, Afsin ^{[2
]}

机构：

[1] Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey

[2] Gazi Univ, Sch Banking & Insurance, TR-06500 Ankara, Turkey

来源：

JOURNAL OF APPLIED ECONOMICS | 2010年 / 13卷 / 01期

关键词：

inflation volatility; seasonality; EGARCH; INTEREST-RATES; UNITED-KINGDOM; UNCERTAINTY; COUNTRIES; OUTPUT; INDEXATION; VARIANCE; REGIMES; IMPACT; LINK;

D O I：

10.1016/S1514-0326(10)60003-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.

引用

页码：39 / 65

页数：27

共 50 条

[1] Inflation Targeting, Policy Rates and Exchange Rate Volatility: Evidence from Turkey
Akyurek, Cem
Kutan, Ali
[J]. COMPARATIVE ECONOMIC STUDIES, 2008, 50 (03) : 460 - 493
[2] Inflation Targeting, Policy Rates and Exchange Rate Volatility: Evidence from Turkey
Cem Akyurek
Ali M Kutan
[J]. Comparative Economic Studies, 2008, 50 (3) : 460 - 493
[3] Rationality and seasonality: Evidence from inflation forecasts
Goldstein, Nathan
Zilberfarb, Ben-Zion
[J]. ECONOMICS LETTERS, 2017, 150 : 86 - 90
[4] Inflation and Output Volatility: Evidence from International Historical Data
Coric, Bruno
[J]. CESIFO ECONOMIC STUDIES, 2020, 66 (02) : 157 - 180
[5] On the Link between Dollarisation and Inflation: Evidence from Turkey
Mohsen Bahmani-Oskooee
Ilker Domaç
[J]. Comparative Economic Studies, 2003, 45 (3) : 306 - 328
[6] Inflation expectations, volatility and Covid-19: evidence from the US inflation swap rates
Apergis, Emmanuel
Apergis, Nicholas
[J]. APPLIED ECONOMICS LETTERS, 2021, 28 (15) : 1327 - 1331
[7] Growth volatility in the inflation-targeting regime: Evidence from Indonesia
Kuncoro, Haryo
Fafurida, Fafurida
Jamil, Izaan Azyan Bin Abdul
[J]. QUANTITATIVE FINANCE AND ECONOMICS, 2024, 8 (02): : 235 - 254
[8] Forecast Transparency and Inflation Volatility: Empirical Evidence from Developing Countries
Mazhar, Ummad
M'baye, Cheick Kader
[J]. GLOBAL ECONOMY JOURNAL, 2016, 16 (04): : 769 - 787
[9] Non-monetary Determinants of Inflation Volatility: Evidence from Nigeria
Fielding, David
[J]. JOURNAL OF AFRICAN ECONOMIES, 2010, 19 (01) : 111 - 139
[10] Inflation targeting and fiscal policy volatility: Evidence from developing countries
Apeti, Ablam Estel
Combes, Jean-Louis
Minea, Alexandru
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2024, 141

← 1 2 3 4 5 →