The asymmetry of inflation adjustment in Turkey
We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the dis...
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| Veröffentlicht in: | Economic modelling 2013-03, Vol.31, p.104-118 |
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| container_title | Economic modelling |
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| creator | Çiçek, Serkan Akar, Cüneyt |
| description | We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the distribution of inflation rates and allowed us to analyze possible asymmetry in mean reversion toward the equilibrium for inflation rates. Our results revealed an asymmetric speed in the inflation adjustment process across different quantiles before and after an inflation targeting (IT) regime (implicit and explicit); persistence relatively decreased after adoption of implicit IT in 2002 or explicit IT and inflation rates became much more mean reverting.
► We modeled dynamic behavior of inflation by quantile autoregression approach. ► Asymmetric speed of inflation adjustment and persistence is investigated. ► An asymmetry in the inflation adjustment across different quantiles is revealed. ► Inflation persistence relatively decreased after adoption of IT regime. ► Result is that CBRT has been considering possible inflation shocks and their sizes. |
| doi_str_mv | 10.1016/j.econmod.2012.11.026 |
| format | Article |
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► We modeled dynamic behavior of inflation by quantile autoregression approach. ► Asymmetric speed of inflation adjustment and persistence is investigated. ► An asymmetry in the inflation adjustment across different quantiles is revealed. ► Inflation persistence relatively decreased after adoption of IT regime. ► Result is that CBRT has been considering possible inflation shocks and their sizes.</description><identifier>ISSN: 0264-9993</identifier><identifier>EISSN: 1873-6122</identifier><identifier>DOI: 10.1016/j.econmod.2012.11.026</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Asymmetry ; Inflation adjustment ; Inflation persistence ; Inflation rates ; Quantile autoregression ; Regression analysis ; Studies ; Turkish economy</subject><ispartof>Economic modelling, 2013-03, Vol.31, p.104-118</ispartof><rights>2012 Elsevier B.V.</rights><rights>Copyright Elsevier Science Ltd. Mar 2013</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c401t-ead7e08b12e12a8918fbf6e4f9485831cf1f7efd0979e24458633eced7c837233</citedby><cites>FETCH-LOGICAL-c401t-ead7e08b12e12a8918fbf6e4f9485831cf1f7efd0979e24458633eced7c837233</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.econmod.2012.11.026$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,27924,27925,45995</link.rule.ids></links><search><creatorcontrib>Çiçek, Serkan</creatorcontrib><creatorcontrib>Akar, Cüneyt</creatorcontrib><title>The asymmetry of inflation adjustment in Turkey</title><title>Economic modelling</title><description>We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the distribution of inflation rates and allowed us to analyze possible asymmetry in mean reversion toward the equilibrium for inflation rates. Our results revealed an asymmetric speed in the inflation adjustment process across different quantiles before and after an inflation targeting (IT) regime (implicit and explicit); persistence relatively decreased after adoption of implicit IT in 2002 or explicit IT and inflation rates became much more mean reverting.
► We modeled dynamic behavior of inflation by quantile autoregression approach. ► Asymmetric speed of inflation adjustment and persistence is investigated. ► An asymmetry in the inflation adjustment across different quantiles is revealed. ► Inflation persistence relatively decreased after adoption of IT regime. ► Result is that CBRT has been considering possible inflation shocks and their sizes.</description><subject>Asymmetry</subject><subject>Inflation adjustment</subject><subject>Inflation persistence</subject><subject>Inflation rates</subject><subject>Quantile autoregression</subject><subject>Regression analysis</subject><subject>Studies</subject><subject>Turkish economy</subject><issn>0264-9993</issn><issn>1873-6122</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><recordid>eNqFkF1LwzAUhoMoOKc_QSh43S4nSdvkSmT4BQNv5nXo0hNsXZuZpEL_vRnbvVcHXt4PzkPIPdACKFSrvkDjxsG1BaPACoCCsuqCLEDWPK-AsUuySIrIlVL8mtyE0FNKGQi1IKvtF2ZNmIcBo58zZ7NutPsmdm7MmrafQhxwjEnMtpP_xvmWXNlmH_DufJfk8-V5u37LNx-v7-unTW4EhZhj09ZI5Q4YAmukAml3tkJhlZCl5GAs2BptS1WtkAlRyopzNNjWRvKacb4kD6feg3c_E4aoezf5MU1q4FCXAILK5CpPLuNdCB6tPvhuaPysgeojG93rMxt9ZKMBdCKRco-nHKYXfjv0OpgOx7TfeTRRt677p-EPabtuxQ</recordid><startdate>20130301</startdate><enddate>20130301</enddate><creator>Çiçek, Serkan</creator><creator>Akar, Cüneyt</creator><general>Elsevier B.V</general><general>Elsevier Science Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20130301</creationdate><title>The asymmetry of inflation adjustment in Turkey</title><author>Çiçek, Serkan ; Akar, Cüneyt</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c401t-ead7e08b12e12a8918fbf6e4f9485831cf1f7efd0979e24458633eced7c837233</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2013</creationdate><topic>Asymmetry</topic><topic>Inflation adjustment</topic><topic>Inflation persistence</topic><topic>Inflation rates</topic><topic>Quantile autoregression</topic><topic>Regression analysis</topic><topic>Studies</topic><topic>Turkish economy</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Çiçek, Serkan</creatorcontrib><creatorcontrib>Akar, Cüneyt</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Economic modelling</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Çiçek, Serkan</au><au>Akar, Cüneyt</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The asymmetry of inflation adjustment in Turkey</atitle><jtitle>Economic modelling</jtitle><date>2013-03-01</date><risdate>2013</risdate><volume>31</volume><spage>104</spage><epage>118</epage><pages>104-118</pages><issn>0264-9993</issn><eissn>1873-6122</eissn><abstract>We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the distribution of inflation rates and allowed us to analyze possible asymmetry in mean reversion toward the equilibrium for inflation rates. Our results revealed an asymmetric speed in the inflation adjustment process across different quantiles before and after an inflation targeting (IT) regime (implicit and explicit); persistence relatively decreased after adoption of implicit IT in 2002 or explicit IT and inflation rates became much more mean reverting.
► We modeled dynamic behavior of inflation by quantile autoregression approach. ► Asymmetric speed of inflation adjustment and persistence is investigated. ► An asymmetry in the inflation adjustment across different quantiles is revealed. ► Inflation persistence relatively decreased after adoption of IT regime. ► Result is that CBRT has been considering possible inflation shocks and their sizes.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.econmod.2012.11.026</doi><tpages>15</tpages></addata></record> |
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| ispartof | Economic modelling, 2013-03, Vol.31, p.104-118 |
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| language | eng |
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| source | Elsevier ScienceDirect Journals Complete |
| subjects | Asymmetry Inflation adjustment Inflation persistence Inflation rates Quantile autoregression Regression analysis Studies Turkish economy |
| title | The asymmetry of inflation adjustment in Turkey |
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