Inflationary Effects of Oil Prices in Turkey: A Regime-Switching Approach
Küçük Resim Yok
Tarih
2011
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
M E Sharpe Inc
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper investigates the existence of oil pass-through to inflation for Turkey covering the period February 1996-May 2007. Oil price-augmented Phillips curves are estimated with linear and Markov regime-switching models. Markov regime-switching models reveal the asymmetric structure of oil pass-through and indicate the existence of two different regimes characterized as the high- and the low-inflation periods. We find evidence for asymmetric oil pass-through in the high- inflation regime for headline and food- and energy-excluded inflation measures. Our results suggest that Jarque-Bera core inflation is not affected by oil price variations under either inflationary environment. Hence, we suggest the Jarque-Bera indicator as an intermediate target in the analysis of the future trend of inflation.
Açıklama
Anahtar Kelimeler
inflation, Markov regime-switching models, oil shocks, pass-through
Kaynak
Emerging Markets Finance and Trade
WoS Q Değeri
Q2
Scopus Q Değeri
N/A
Cilt
47
Sayı
5
