Inflation-relative price variability relationship: The case of Turkey
نویسندگان
چکیده
منابع مشابه
Cross-Sectional Relative Price Variability and Inflation in Turkey: Time Varying Estimation
Abstract This study investigates the empirical validity of the variability hypothesis in Turkey for the period of February 2005-November 2015, by using cross-sectional relative price data and by focusing on the assumptions of linearity and stability. The linearity assumption between the two variables is ensured by estimating quadratic regression equation. The assumption of stability is secur...
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The relationship between inflation and relative price variability (RPV) is widely believed to be positive and stable. Using disaggregated CPI data for the U.S. and Japan, however, this study finds that the relationship is neither linear nor stable over time. The overall relationship is approximately U-shaped and symmetric around a certain threshold: a positive correlation on one side but a trad...
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The relationship between inflation and relative price variability (RPV) is widely believed to be positive and stable. Using disaggregated CPI data for the U.S. and Japan, however, this study finds that the relationship is neither linear nor stable over time. The overall relationship is approximately U-shaped and symmetric around a certain threshold: a positive correlation on one side but a trad...
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This paper presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness. JEL: E17, E31, C43
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This paper examines if the joint behavior of inflation and relative price variability (RPV) is consistent with threshold nonlinearity. It applies the test procedure proposed by Tsay (1998) to monthly inflation and RPV in the U.S. for a period from January 1947 to October 2000, and finds strong evidence in favor of threshold nonlinearity that signifies asymmetries of the relationship between inf...
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ژورنال
عنوان ژورنال: International Journal of Social Sciences and Education Research
سال: 2015
ISSN: 2149-5939
DOI: 10.24289/ijsser.279153