Inflation Expectations in Turkey: Evidence from Panel Data
We investigated the rationality of financial and real sectors' CPI inflation expectations in Turkey using the multivariate panel cointegration method. The use of panel techniques strengthened our empirical results by not only increasing sample size but also allowing heterogeneity across groups...
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| Weitere Verfasser: | , , |
| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
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Paris
OECD Publishing
2011
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| Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Zusammenfassung: | We investigated the rationality of financial and real sectors' CPI inflation expectations in Turkey using the multivariate panel cointegration method. The use of panel techniques strengthened our empirical results by not only increasing sample size but also allowing heterogeneity across groups of respondents. Having found the expectations irrational in the stricter sense, we proceeded to analyze the significance of both past and future inflation rates as determinants of agents' future inflation forecasts. Both recursive and rolling estimates show that forecasters' weight on future/target inflation rates versus past actual and expected inflation rates changes over time as unexpected shocks derail inflation from its disinflationary path. Lastly, we find asymmetry in expectations such that the response of inflation expectations to an increase in the inflation rate is twice the size of the response to a decrease in the inflation rate. This may indicate long delays in restoring credibility of central banks after a positive shock on the inflation rate. JEL Classifications: C23, D84, E31 Keywords: Inflation expectations, Inflation formation, Panel cointegration, Recursive regression |
| Beschreibung: | 1 Online-Ressource (24 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2011-5kgg5k53np7c |
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| 520 | |a We investigated the rationality of financial and real sectors' CPI inflation expectations in Turkey using the multivariate panel cointegration method. The use of panel techniques strengthened our empirical results by not only increasing sample size but also allowing heterogeneity across groups of respondents. Having found the expectations irrational in the stricter sense, we proceeded to analyze the significance of both past and future inflation rates as determinants of agents' future inflation forecasts. Both recursive and rolling estimates show that forecasters' weight on future/target inflation rates versus past actual and expected inflation rates changes over time as unexpected shocks derail inflation from its disinflationary path. Lastly, we find asymmetry in expectations such that the response of inflation expectations to an increase in the inflation rate is twice the size of the response to a decrease in the inflation rate. This may indicate long delays in restoring credibility of central banks after a positive shock on the inflation rate. JEL Classifications: C23, D84, E31 Keywords: Inflation expectations, Inflation formation, Panel cointegration, Recursive regression | ||
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| spelling | Oral, Ece Verfasser aut Inflation Expectations in Turkey Evidence from Panel Data Ece Oral ... [et al] Paris OECD Publishing 2011 1 Online-Ressource (24 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier We investigated the rationality of financial and real sectors' CPI inflation expectations in Turkey using the multivariate panel cointegration method. The use of panel techniques strengthened our empirical results by not only increasing sample size but also allowing heterogeneity across groups of respondents. Having found the expectations irrational in the stricter sense, we proceeded to analyze the significance of both past and future inflation rates as determinants of agents' future inflation forecasts. Both recursive and rolling estimates show that forecasters' weight on future/target inflation rates versus past actual and expected inflation rates changes over time as unexpected shocks derail inflation from its disinflationary path. Lastly, we find asymmetry in expectations such that the response of inflation expectations to an increase in the inflation rate is twice the size of the response to a decrease in the inflation rate. This may indicate long delays in restoring credibility of central banks after a positive shock on the inflation rate. JEL Classifications: C23, D84, E31 Keywords: Inflation expectations, Inflation formation, Panel cointegration, Recursive regression Economics Turkey Saygili, Hülya ctb Saygili, Mesut ctb Tuncel, S. Özge ctb https://doi.org/10.1787/jbcma-2011-5kgg5k53np7c Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Oral, Ece Inflation Expectations in Turkey Evidence from Panel Data Economics Turkey |
| title | Inflation Expectations in Turkey Evidence from Panel Data |
| title_auth | Inflation Expectations in Turkey Evidence from Panel Data |
| title_exact_search | Inflation Expectations in Turkey Evidence from Panel Data |
| title_exact_search_txtP | Inflation Expectations in Turkey Evidence from Panel Data |
| title_full | Inflation Expectations in Turkey Evidence from Panel Data Ece Oral ... [et al] |
| title_fullStr | Inflation Expectations in Turkey Evidence from Panel Data Ece Oral ... [et al] |
| title_full_unstemmed | Inflation Expectations in Turkey Evidence from Panel Data Ece Oral ... [et al] |
| title_short | Inflation Expectations in Turkey |
| title_sort | inflation expectations in turkey evidence from panel data |
| title_sub | Evidence from Panel Data |
| topic | Economics Turkey |
| topic_facet | Economics Turkey |
| url | https://doi.org/10.1787/jbcma-2011-5kgg5k53np7c |
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