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Inflation persistence in Turkey: a TVP-estimation approach

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Date

2020

Author

Bilici, Berk
Çekin, Semih Emre

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Abstract

We analyze inflation dynamics in Turkey by estimating inflation persistence for the period 1990–2018. Inflation persistence is defined as the speed with which inflation returns to its equilibrium level (long-term mean) after a shock and we apply a time-varying parameter estimation method based on the Kalman filter. We find that inflation persistence increases and exhibits high volatility in periods of high inflation in which inflation expectations and pricing behaviors are negatively affected. We further find that with institutional changes in the conduct of monetary policy, inflation started to decline after 2003 and inflation became less persistent. Monetary policy appears to be effective at maintaining price stability until 2016. Empirical results show that there is a significant rise in inflation persistence starting in 2016 accompanied by an upward trend in inflation. © 2020 Board of Trustees of the University of Illinois

Source

Quarterly Review of Economics and Finance

Volume

78

URI

https://doi.org/10.1016/j.qref.2020.04.002
https://hdl.handle.net/20.500.12846/317

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  • İktisat Bölümü Koleksiyonu [19]
  • Scopus İndeksli Yayınlar Koleksiyonu [278]



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