ASYMMETRIC EFFECTS OF INFLATION AND INFLATION UNCERTAINTY ON OUTPUT GROWTH: EVIDENCE FROM TURKEY BASED ON THRESHOLD AUTOREGRESSIVE (TAR) MODEL
Küçük Resim Yok
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Symmetrion
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper empirically examines whether the effects of inflation and inflation uncertainty on output growth vary depending on the level-high or low- of the inflation environment in Turkey. This study adopts the recently developed threshold autoregressive (TAR) model, which can predict the threshold level endogenously. The empirical results indicate that the inflation level below the 12.15% threshold has a statistically significant and detractive effect on output, but inflation uncertainty has no effect. On the other hand, the negative effect of inflation above the threshold level on output continues, although it decreases, and the effect of inflation uncertainty on output turns from meaningless to strongly negative. That is, the findings point out that industrial production is more affected by the inflation level in a relatively low-inflation environment and by inflation volatility in a high one.
Açıklama
Anahtar Kelimeler
Inflation, Inflation uncertainty, Economic growth, ARCH/GARCH, Threshold autoregressive (TAR) model
Kaynak
Symmetry-Culture and Science
WoS Q Değeri
N/A
Scopus Q Değeri
Q1
Cilt
34
Sayı
1
