International Congress on Eurasian Economies

International Conference on Eurasian Economies

17-18 September 2013 – St. Petersburg, RUSSIA

Paper detail

Paper ID : 696
Status : Paper published
Language : Turkish
Topic : Growth and Development
Presenter: Ph.D. candidate Zühal Kurul
Session : 3B Makroekonomi

The Long Memory Characteristics of Inflation in Turkey and Analysis of Inflation Persistence
Türkiye’de Enflasyonun Uzun Hafıza Özellikleri ve Enflasyon Sürekliliği Analizi

Abstract

The aim of this paper is to illustrate the long memory characteristics of the Turkish inflation rates and to analyze the potential inflation persistence. Our empirical analysis is carried out for inflation series of Turkey during the period of 1980-2013. We used the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model and find that inflation in Turkey has long memory properties when structural breaks are not taken into account. When structural changes are considered, the long memory properties show different and ambiguous results. The exogenously identified structural changes have altered the dynamic structure of the inflation process and weakened the long memory characteristics of the series.

JEL codes: C22, E31

Kurul, Zühal, Sezer, Pınar (2013). "The Long Memory Characteristics of Inflation in Turkey and Analysis of Inflation Persistence" in Proceedings of International Conference of Eurasian Economies 2013, pp.337-345, St. Petersburg, RUSSIA.

DOI: https://doi.org/10.36880/C04.00696

Full paper in PDF format.

Session 3B: Makroekonomi

Istanbul Beykent University Turkish Central Bank TIKA