SEASONALITY IN INFLATION VOLATILITY: EVIDENCE FROM TURKEY

BERUMENT M. H., ŞAHİN A.

JOURNAL OF APPLIED ECONOMICS, vol.13, no.1, pp.39-65, 2010 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 13 Issue: 1
  • Publication Date: 2010
  • Doi Number: 10.1016/s1514-0326(10)60003-7
  • Journal Name: JOURNAL OF APPLIED ECONOMICS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.39-65
  • Keywords: inflation volatility, seasonality, EGARCH, INTEREST-RATES, UNITED-KINGDOM, UNCERTAINTY, COUNTRIES, OUTPUT, INDEXATION, VARIANCE, REGIMES, IMPACT, LINK
  • Ankara Haci Bayram Veli University Affiliated: No

Abstract

This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.