Inflationary Effects of Oil Prices in Turkey: A Regime-Switching Approach
This paper investigates the existence of oil pass-through to inflation for Turkey covering the period February 1996-May 2007. Oil price-augmented Phillips curves are estimated with linear and Markov regime-switching models. Markov regime-switching models reveal the asymmetric structure of oil pass-t...
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| Veröffentlicht in: | Emerging markets finance & trade 2011-09, Vol.47 (5), p.125-140 |
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| container_title | Emerging markets finance & trade |
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| creator | Çatik, A. Nazif Önder, A. Özlem |
| description | This paper investigates the existence of oil pass-through to inflation for Turkey covering the period February 1996-May 2007. Oil price-augmented Phillips curves are estimated with linear and Markov regime-switching models. Markov regime-switching models reveal the asymmetric structure of oil pass-through and indicate the existence of two different regimes characterized as the high- and the low-inflation periods. We find evidence for asymmetric oil pass-through in the high-inflation regime for headline and food- and energy-excluded inflation measures. Our results suggest that Jarque-Bera core inflation is not affected by oil price variations under either inflationary environment. Hence, we suggest the Jarque-Bera indicator as an intermediate target in the analysis of the future trend of inflation. |
| doi_str_mv | 10.2753/REE1540-496X470506 |
| format | Article |
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Hence, we suggest the Jarque-Bera indicator as an intermediate target in the analysis of the future trend of inflation.</description><identifier>ISSN: 1540-496X</identifier><identifier>EISSN: 1558-0938</identifier><identifier>DOI: 10.2753/REE1540-496X470506</identifier><language>eng</language><publisher>Abingdon: Routledge</publisher><subject>Core inflation ; Crude oil prices ; Economic crises ; Economic indicators ; Economic inflation ; Economic models ; Emerging markets ; Finance ; Inflation ; Inflation shocks ; Macroeconomics ; Markov analysis ; Markov regime-switching models ; Oil prices ; oil shocks ; Output gaps ; pass-through ; Phillips curve ; Studies ; Trade finance</subject><ispartof>Emerging markets finance & trade, 2011-09, Vol.47 (5), p.125-140</ispartof><rights>Copyright Taylor & Francis Group, LLC 2011</rights><rights>2011 M.E. Sharpe, Inc.</rights><rights>Copyright M. E. Sharpe Inc. 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Hence, we suggest the Jarque-Bera indicator as an intermediate target in the analysis of the future trend of inflation.</description><subject>Core inflation</subject><subject>Crude oil prices</subject><subject>Economic crises</subject><subject>Economic indicators</subject><subject>Economic inflation</subject><subject>Economic models</subject><subject>Emerging markets</subject><subject>Finance</subject><subject>Inflation</subject><subject>Inflation shocks</subject><subject>Macroeconomics</subject><subject>Markov analysis</subject><subject>Markov regime-switching models</subject><subject>Oil prices</subject><subject>oil shocks</subject><subject>Output gaps</subject><subject>pass-through</subject><subject>Phillips curve</subject><subject>Studies</subject><subject>Trade finance</subject><issn>1540-496X</issn><issn>1558-0938</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><recordid>eNp9UFtLwzAYDaLgnP4BQQj4XM21aQUfhlQdDCZzgm8hTZMts2tm0jH27-3o0Defvg_OjXMAuMbojghO72dFgTlDCcvTTyYQR-kJGGDOswTlNDs9_Ef0HFzEuEIIZxRnAzAeN7ZWrfONCntYWGt0G6G3cOpq-BacNhG6Bs634cvsH-AIzszCrU3yvnOtXrpmAUebTfBKLy_BmVV1NFfHOwQfz8X86TWZTF_GT6NJohnmbYJLlZIcK6GJLjNT0jxPM6UMpojnRmBjK8JZiZlBKRGEVhyXCHNTWcqtEIwOwW3v28V-b01s5cpvQ9NFyq4wFZylDHUs0rN08DEGY-UmuHXXUWIkD5PJ42Tyb7JOdNOLVrH14VfBMGWUkQP-2OOusT6s1c6HupKt2tc-2KAa7aKk__j_AP2jesY</recordid><startdate>20110901</startdate><enddate>20110901</enddate><creator>Çatik, A. 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Markov regime-switching models reveal the asymmetric structure of oil pass-through and indicate the existence of two different regimes characterized as the high- and the low-inflation periods. We find evidence for asymmetric oil pass-through in the high-inflation regime for headline and food- and energy-excluded inflation measures. Our results suggest that Jarque-Bera core inflation is not affected by oil price variations under either inflationary environment. Hence, we suggest the Jarque-Bera indicator as an intermediate target in the analysis of the future trend of inflation.</abstract><cop>Abingdon</cop><pub>Routledge</pub><doi>10.2753/REE1540-496X470506</doi><tpages>16</tpages></addata></record> |
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| ispartof | Emerging markets finance & trade, 2011-09, Vol.47 (5), p.125-140 |
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| language | eng |
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| source | EBSCOhost Business Source Complete; Jstor Complete Legacy |
| subjects | Core inflation Crude oil prices Economic crises Economic indicators Economic inflation Economic models Emerging markets Finance Inflation Inflation shocks Macroeconomics Markov analysis Markov regime-switching models Oil prices oil shocks Output gaps pass-through Phillips curve Studies Trade finance |
| title | Inflationary Effects of Oil Prices in Turkey: A Regime-Switching Approach |
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