SEASONALITY IN INFLATION VOLATILITY: EVIDENCE FROM TURKEY

被引：6

作者：

Berument, M. Hakan ^{[1
]}

Sahin, Afsin ^{[2
]}

机构：

[1] Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey

[2] Gazi Univ, Sch Banking & Insurance, TR-06500 Ankara, Turkey

来源：

JOURNAL OF APPLIED ECONOMICS | 2010年 / 13卷 / 01期

关键词：

inflation volatility; seasonality; EGARCH; INTEREST-RATES; UNITED-KINGDOM; UNCERTAINTY; COUNTRIES; OUTPUT; INDEXATION; VARIANCE; REGIMES; IMPACT; LINK;

D O I：

10.1016/S1514-0326(10)60003-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：39 / 65

页数：27

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