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.
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页码：39 / 65
页数：27
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