Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013)
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 Tur...
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Series: | Mathematical Problems in Engineering |
Online Access: | http://dx.doi.org/10.1155/2014/284161 |
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doaj-2212da71fcf445aba901729312b911272020-11-24T22:28:50ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472014-01-01201410.1155/2014/284161284161Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013)Pınar Göktaş0Cem Dişbudak1Department of Economy, Faculty of Economy and Administration, Muğla Sıtkı Koçman University, 48000 Muğla, TurkeyDepartment of Economy, Faculty of Economy and Administration, Muğla Sıtkı Koçman University, 48000 Muğla, TurkeyIn 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.http://dx.doi.org/10.1155/2014/284161 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Pınar Göktaş Cem Dişbudak |
spellingShingle |
Pınar Göktaş Cem Dişbudak Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013) Mathematical Problems in Engineering |
author_facet |
Pınar Göktaş Cem Dişbudak |
author_sort |
Pınar Göktaş |
title |
Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013) |
title_short |
Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013) |
title_full |
Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013) |
title_fullStr |
Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013) |
title_full_unstemmed |
Modelling Inflation Uncertainty with Structural Breaks Case of Turkey (1994–2013) |
title_sort |
modelling inflation uncertainty with structural breaks case of turkey (1994–2013) |
publisher |
Hindawi Limited |
series |
Mathematical Problems in Engineering |
issn |
1024-123X 1563-5147 |
publishDate |
2014-01-01 |
description |
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. |
url |
http://dx.doi.org/10.1155/2014/284161 |
work_keys_str_mv |
AT pınargoktas modellinginflationuncertaintywithstructuralbreakscaseofturkey19942013 AT cemdisbudak modellinginflationuncertaintywithstructuralbreakscaseofturkey19942013 |
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