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Measuring inflation uncertainty in Turkey

Author

Listed:
  • Eda Gulsen
  • Hakan Kara

Abstract

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.

Suggested Citation

  • Eda Gulsen & Hakan Kara, 2019. "Measuring inflation uncertainty in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 19(2), pages 33-43.
    • Handle: RePEc:tcb:cebare:v:19:y:2019:i:2:p:33-43
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    File URL: https://www.sciencedirect.com/journal/central-bank-review/vol/19/issue/2
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    Cited by:

    1. Goldfayn-Frank, Olga & Kieren, Pascal & Trautmann, Stefan, 2024. "A Choice-Based Approach to the Measurement of Inflation Expectations," Working Papers 0742, University of Heidelberg, Department of Economics.
    2. Muhammad Ali Musarat & Wesam Salah Alaloul & M. S. Liew & Ahsen Maqsoom & Abdul Hannan Qureshi, 2021. "The Effect of Inflation Rate on CO 2 Emission: A Framework for Malaysian Construction Industry," Sustainability, MDPI, vol. 13(3), pages 1-16, February.
    3. Eda Gulsen & Hakan Kara, 2020. "Formation of inflation expectations: Does macroeconomic and policy environment matter?," Koç University-TUSIAD Economic Research Forum Working Papers 2017, Koc University-TUSIAD Economic Research Forum.
    4. Haryo Kuncoro, 2024. "Inflation and Its Uncertainty: Evidence from Indonesia and the Philippines," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 16(2), pages 231-247, May.
    5. Becker, Christoph & Duersch, Peter & Eife, Thomas, 2023. "Measuring Inflation Expectations: How the Response Scale Shapes Density Forecasts," Working Papers 0727, University of Heidelberg, Department of Economics.

    More about this item

    Keywords

    Inflation uncertainty; Inflation; Survey data; Disagreement; Density forecasts;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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