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

机译：结构突破下通胀与通胀不确定性的因果关系：来自土耳其的证据

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摘要

The 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.
机译：本文的目标是通过2004年期间的每月数据来研究土耳其通货膨胀与通胀不确定性之间的关系：01-2019：12。为此，本文首先使用通货膨胀数据建立通胀不确定性系列。其次，它探讨了通货膨胀与通胀不确定性之间的协整关系。最后，它搜索通货膨胀与通胀不确定性之间的因果关系。本文采用了经济学的方法，明确地考虑了结构性休息。在检查整个样本的通胀通胀不确定性Nexus之后，分析还研究了两个亚主极的这种关系，即2004：5-2010：10和2010年：11：2019：12考虑到货币政策框架的变化土耳其共和国中央银行（CBRT）。该研究结果提供了证据表明，在整个样本和第二个子期间，从通胀到通胀不确定性存在单向因果关系，而第一个潜剂的通胀与通胀不确定性没有因果关系。总体而言，结果表明，在第二个子优势期间（I）当CBR试图达到价格稳定时，而且还是金融稳定性和（ii）当通货膨胀率更挥发和更高时，通货膨胀率的增加会导致通胀不确定性的增加。

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