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

2021 ◽  
Author(s):  
Nicholas Apergis ◽  
Umit Bulut ◽  
Gulbahar Ucler ◽  
Serife Ozsahin
Keyword(s):  
Structural Breaks ◽  
Inflation Uncertainty

scholarly journals Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013)

2014 ◽  
Vol 2014 ◽  
pp. 1-19 ◽  
Author(s):  
Pınar Göktaş ◽  
Cem Dişbudak
Keyword(s):  
Structural Breaks ◽  
Structural Break ◽  
Inflation Uncertainty ◽  
Macroeconomic Indicators ◽  
Asymmetric Garch ◽  
Break Points ◽  
Mean And Variance ◽  
Causality Relationship ◽  
Structural Break Test ◽  
The Relationship

In recent years, the importance attached to the concept of volatility has increased and become a phenomenon frequently encountered in every field ranging from financial markets to macroeconomic indicators. In this study, inflation data obtained from CPI index for the period of 1994:01–2013:12 in Turkey was used to determine the best representative of the inflation uncertainty. To realize this, both symmetric and asymmetric GARCH-type models were employed. Since there are many factors that may lead to structural change within the economic course of Turkey, a structural break in the series has first been investigated. By administering Bai-Perron structural break test, two different break points both in mean and variance have been detected to be in February 2002 and in June 2001, respectively. The inclusion of those break points to the related equations, appropriate forecasting models were projected. Moreover it was found that, while in the periods prior to the break in both variance and mean the inflation itself was the reason for inflation uncertainty, following the dates of the break, the relationship changed bidirectionally. In the meantime, when the series was taken as a whole without considering the break, bidirectional causality relationship was also detected in the series.

scholarly journals Inflation, inflation uncertainty and output growth: what does the data say for Malaysia?

2014 ◽  
Vol 41 (3) ◽  
pp. 370-386 ◽  
Author(s):  
Ahmad Zubaidi Baharumshah ◽  
Siew-Voon Soon
Keyword(s):  
Design Methodology ◽  
Structural Breaks ◽  
Output Growth ◽  
Economic Uncertainty ◽  
Macroeconomic Performance ◽  
Inflation Uncertainty ◽  
Content Type ◽  
Output Uncertainty ◽  
Negative Effect ◽  
Positive Effect

Purpose – The purpose of this paper is to examine the causal relationships between inflation, output growth and their uncertainties in Malaysia. Design/methodology/approach – The modeling approach allows for structural breaks to avoid the masking of specific impacts. Findings – Based on the asymmetric Generalized Autoregressive Conditional Heteroskedasticity model, the paper found strong evidence favoring a positive effect of a change in the inflation uncertainty as predicted by the Friedman-Ball hypothesis. In addition, inflation (inflation uncertainty) has direct (indirect) negative effect on the output growth. The results are consistent with the Taylor effect – increases in inflation uncertainty decreases output uncertainty. The analysis also reveals that economic uncertainty lowers the growth rate of output, complying with Bernanke's idea. Originality/value – The present study suggests that extra efforts are required to locate the breaks in the variance in order to draw concrete evidence on link between economic uncertainty and macroeconomic performance.

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