Inflation volatility and inflation in the wake of the great recession

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dc.contributor.authorÇekin, Semih Emre
dc.contributor.authorValcarcel, Victor J.
dc.date.accessioned2021-01-08T21:51:19Z
dc.date.available2021-01-08T21:51:19Z
dc.date.issued2020
dc.departmentTAÜ, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümüen_US
dc.descriptionWOS:000570892700019en_US
dc.description.abstractA reduced-form investigation reveals that the relationship between the level of inflation and its volatility in the USA may not have been monotonic. This paper quantifies a reversal of the relationship by considering linear and nonlinear estimation methodologies on the trend and volatility of inflation. Our findings suggest that the spikes in inflation volatility in the period after 2008 are related to transitory, rather than permanent movements in inflation, suggesting that the US Great Moderation period may be merely on hold, rather than over with.
dc.identifier.doi10.1007/s00181-019-01724-2
dc.identifier.endpage2015en_US
dc.identifier.issn0377-7332
dc.identifier.issn1435-8921
dc.identifier.issue4en_US
dc.identifier.scopus2-s2.0-85068853505
dc.identifier.scopusqualityQ1
dc.identifier.startpage1997en_US
dc.identifier.urihttp://doi.org/10.1007/s00181-019-01724-2
dc.identifier.urihttps://hdl.handle.net/20.500.12846/131
dc.identifier.volume59en_US
dc.identifier.wosWOS:000570892700019
dc.identifier.wosqualityQ3
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇekin, Semih Emre
dc.language.isoen
dc.publisherPhysica-Verlag Gmbh & Co
dc.relation.ispartofEmpirical Economics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectInflation Volatilityen_US
dc.subjectMarkov Switchingen_US
dc.subjectMixed-Frequency Regressionsen_US
dc.subjectGarchen_US
dc.subjectMidasen_US
dc.titleInflation volatility and inflation in the wake of the great recession
dc.typeArticle

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