Enflasyon ve enflasyon belirsizliği ilişkisi için G7 ekonomileri üzerine bir inceleme[An investigation for the inflation and inflation uncertainty relationship upon the G7 economies]

The relationships between inflation and its uncertainty have long been perceived in the economics literature as a special research area based mainly on empirical findings. Testing the causality between these aggregates enables us to attain the significant knowledgement of whether or not inflation and its associated volatility tend to have potential negative effects on the growth process of the economy. Based on a contemporaneous literature, in this paper, some main approaches dealing with the causality issues between inflation and inflation uncertainty have been documented, and then, the empirical validity of these competing approaches has been tested for the G7 countries with monthly frequency observations in the 1973M01 - 2008M09 period. To test the causal relationships between inflation and inflation uncertainty, a proxy variable for inflation uncertainty represented by conditional volatility of inflation is first generated by using contemporaneous generalized autoregressive conditional heteroskedasticity (EGARCH) methods. The use of a GARCH-type model enables us to estimate time-varying measures of inflation uncertainty, and this will be appropriate for an empirical attempt aiming at directly testing the implications of the hypotheses examined in this paper. Following the construction of uncertainty component of inflation, some conventional bivariate Granger-causality tests have been tried to be conducted to examine the causality between inflation and inflation uncertainty. Estimation results reveal that in a way supporting the arguments put forward by Friedman-Ball hypotheses, inflation is the Granger-cause of the inflation uncertainty considering a positive relationship. However, no clear-cut evidence for the positive causality running from inflationary uncertainty to inflation explained mainly by Cukierman-Meltzer hypotheses can be found for all the G7 countries in the sense that such an inference seems to be supported in some countries, the sign of this relationship varies in some others, and no causalityhas been found in still others. All in all, we infer that inflation is a cause of an associated uncertainty component related to itself occured in the economy.