SavedAdd your journal

Journals / Central Bank Review / 2019 / Cilt: 19 - Sayı: 2

Measuring inflation uncertainty in Turkey

Eda GULSEN
Hakan KARA
Pages
33–43
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Our results suggest that survey-based inflation uncertainty measures are broadly consistent with market-implied indicators of inflation risk.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Measuring and monitoring inflation uncertainty is an essential ingredient of monetary policy analysis.
📊
Key Findings & Data:This study constructs survey measures of inflation uncertainty for the Turkish economy.
💡
Conclusion & Impact:Our results suggest that survey-based inflation uncertainty measures are broadly consistent with market-implied indicators of inflation risk.
🔬Design:Survey & Empirical Study
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Özet

Measuring and monitoring inflation uncertainty is an essential ingredient of monetary policy analysis. This study constructs survey measures of inflation uncertainty for the Turkish economy. Using density and point inflation forecasts in the CBRT Survey of Expectations, we derive various uncertainty measures through standard deviation, entropy, and disagreement among forecasters. Our results suggest that survey-based inflation uncertainty measures are broadly consistent with market-implied indicators of inflation risk. Moreover, we find that an increase in observed inflation is associated with higher inflation uncertainty across all empirical specifications.

🔖

Cite This Article

GULSEN, E., KARA, H. (2019). Measuring inflation uncertainty in Turkey. Central Bank Review, Cilt: 19 - Sayı: 2, 33–43. https://ajindex.com/articles/142180

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (2)

  1. Abel, Joshua, Rich, R., Song, J., Tracy, J., 2016. The measurement and behavior of uncertainty: evidence from the ECB survey of professional forecasters. J. Appl. Econom. 31, 533e550 (April/May). Boero, G., Smith, J., Wallis, K.F., 2008. Uncertainty and disagreement in economic prediction: the Bank of England survey of external forecasters. Econ. J. 118, 1107e1127 (July). Carvalho, F.A., Minella, A., 2012. Survey forecasts in Brazil: a prismatic assessment of epidemiology, performance, and determinants. J. Int. Money Financ. 31 (6), 1371e1391. D'Amico, S., Orphanides, A., 2008. Uncertainty and Disagreement in Economic Forecasting. Finance and Economics Discussion Series: 2008-56. Board of Governors of the Federal Reserve System (U.S.). Giordani, P., Soderlind, P., 2003. Inflation forecast uncertainty. Eur. Econ. Rev. 47, 1037e1059. Grimme, C., Henzel, S.R., Wieland, E., 2014. Inflation uncertainty revisited: a proposal for robust measurement. Empir. Econ. 47 (4), 1497e1523. Gürkaynak, R.S., Sack, B., Wright, J.H., 2010. The TIPS yield curve and inflation compensation. Am. Econ. J. Macroecon. 2 (1), 70e92. Hülagü, T., S¸ ahinoz, S., 2012. Is disagreement a good proxy for in € flation uncertainty? Evidence from Turkey. Central Bank Review 12 (1), 53e62. Keane, M., Runkle, D., 1990. Testing the rationality of price forecasts: New evidence from panel data. Am. Econ. Rev. 80 (4), 714e735. Lahiri, K., Sheng, X., 2010. Measuring forecast uncertainty by disagreement: the missing link. J. Appl. Econom. 25, 514e538. Mankiw, N., Reis, R., Wolfers, J., 2003. Disagreement about inflation expectations. NBER Macroecon. Annu. 18, 209e248. Manski, C., 2004. Measuring expectations. Econometrica 72, 1329e1376. Rich, R., Tracy, J., 2010. The relationships among expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts. Rev. Econ. Stat. 92 (1), 200e207. Rich, R., Tracy, J., 2018. A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area. Federal Reserve Bank of Cleveland. Working Paper No. 18-13.
  2. Shen, P., 2006. Liquidity risk premia and breakeven inflation rates. Econ. Rev. 91 (2), 29e54. Soderlind, P., 2011. In € flation risk premia and survey evidence on macroeconomic uncertainty. Int. J. Central Bank. 7 (2), 113e133. Walllis, K., 2006. A Note on the Calculation of Histograms. University of Warwick (unpublished paper). Zarnowitz, V., Lambros, L.A., 1987. Consensus and uncertainty in economic p