Measuring the Turkish core inflation with a shifting mean model
Tóm tắt
This paper employs a new econometric method to estimate the Turkish core inflation measured as shifting means in levels. Using monthly series between 1955 and 2015, we estimate the core inflation and determine its number of shifts using the Bayesian information criteria, the hv-block cross-validation, the Lin–Terasvirta parameter constancy test, and the neural networks test for neglected nonlinearity. We find that there are at least three shifts in the core inflation series. The findings help detect the exact dates of the shifts between different inflation regimes and the duration of each regime, which should be important information in evaluating the success of past economic policies in fighting inflation. We also compare the method with two existing core inflation measures, the consumer price index excluding food and energy and the exponential smoothing method, and find superior results.
Tài liệu tham khảo
Akyuz Y, Boratav K (2003) The making of the Turkish financial crisis. World Dev 31(9):1549–1566
Aparicio F, Escribano A, Sipols AE (2006) Range unit-root (RUR) tests: robust against nonlinearities, error distributions, structural breaks and outliers. J Time Ser Anal 27(4):545–576
Atuk O, Ozmen U (2009) A new approach to measuring core inflation for Turkey: SATRIM. Iktisat Isletme ve Finans 24(285):73–88
Berkmen P (2002) Measuring core inflation for Turkey: trimmed means approach. Cent Bank Rev 2:1–18
Berument MH, Yalcin Y, Yildirim JO (2011) The inflation and inflation uncertainty relationship for Turkey: a dynamic framework. Empir Econ 41:293–309
Clark TE (2001) Comparing measures of core inflation. Econ Rev Fed Reserve Bank Kansas City 86(2):5–31
Cogley T (2002) A simple adaptive measure of core inflation. J Money Credit Bank 34:94–113
Dibooglu S, Kibritcioglu A (2004) Inflation, output growth, and stabilization in Turkey, 1980–2002. J Econ Bus 56:43–61
Franses PH, van Dijk D (2000) Non-linear time series models in empirical finance. Cambridge University Press, Cambridge
Gonzalez A, Hubrich K, Teräsvirta T (2011) Forecasting inflation with gradual regime shifts and exogenous information, eCB working paper No. 1363
Gonzalez A, Teräsvirta T (2008) Modelling autoregressive processes with a shifting mean. Stud Nonlin Dyn Econom 12(1):1–26
Holden R (2006) Measuring core inflation. Reserve Bank N Z Bull 69(4):5–11
Kibritcioglu A, Rittenberg L, Selcuk F (eds) (2002) Inflation and disinflation in Turkey. Ashgate, Aldershot. http://kibritcioglu.com/iktisat/inflation/book.html
Lee TH, White H, Granger CWJ (1993) Testing for neglected nonlinearity in time series models. J Econom 56:269–290
Leybourne S, Newbold P, Vougas D (1998) Unit roots and smooth transitions. J Time Ser Anal 19(1):83–97
Lin CJ, Teräsvirta T (1994) Testing the constancy of regression parameters against continuous structural change. J Econom 62:211–228
Metin K (1995) An integrated analysis of Turkish inflation. Oxford Bull Econ Stat 57(4):513–531
Nas TF (2008) Tracing the economic transformation of Turkey from the 1920s to EU accession. Martinus Nijhoff Publishers, Leiden
Nas TF, Perry MJ (2000) Inflation, inflation uncertainty, and monetary policy in Turkey: 1960–1998. Contemp Econ Policy 18(2):170–180
Onis Z, Rubin B (eds) (2003) The Turkish economy in crisis. Frank Cass, London
Ozdemir ZA, Fisunoglu M (2008) On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: a long memory approach. Int Rev Econ Finance 17:1–12
Perron P (1988) The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57:1361–1401
Phillips PCB, Perron P (1988) Testing for a unit root in time series regression. Biometrika 75:335–346
Racine J (2000) Consistent cross-validatory model-selection for dependent data: hv-block cross-validation. J Econom 99:39–61
Rich R, Steindel C (2005) A review of core inflation and an evaluation of its measures. Staff Reports 236, Federal Reserve Bank of New York
Rich R, Steindel C (2007) A comparison of measures of core inflation. FRBNY economic policy review, Dec. 19–38
Us V (2004) Inflation dynamics and monetary policy strategy: some prospects for the Turkish economy. J Policy Model 26:1003–1013
Zivot E, Andrews DWK (1992) Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. J Bus Econ Stat 10(3):251–270