DETERMINING RELATIVE WEIGHTS OF INFLATION UNCERTAINTY IN TURKEY VIA CPI AND ITS COMPONENTS

Authors : Pınar Göktaş, Ali Çımat

Pages : 343-363

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Publication Date : 2016-06-20

Article Type : Research Paper

Abstract :This study aims to investigate the interaction of main expenditures groups of CPI with the fluctuations taking place at the level of general prices and calculate the relative weights of theirs uncertainties within inflation uncertainty. Since there might be structural breaks in the investigated variables, Bai-Perron test, GARCH-type models are constructed by including the breaks in the fluctuation measurement and ARDL approach has been used to determine the long-term relationship between the variables.  Contrary to expectations, it was revealed that the expenditure group having the greatest impact on inflation uncertainty is not “food, beverage and tobacco” expenditure group but “transportation”.
Keywords : GARCH type models with multiple structural breaks, Bai Perron method, Inflation uncertainty, main expenditure group uncertainties, ARDL method