The goal of this paper is to examine the relationship between inflation and inflation uncertainty for Turkey through monthly data spanning the period 2004:01–2019:12. To this end, the paper first builds the inflation uncertainty series using inflation data. Second, it examines the cointegration relationship between inflation and inflation uncertainty. Finally, it searches for causal relationships between inflation and inflation uncertainty. The paper employs econometric methods which explicitly consider structural breaks. After examining the inflation–inflation uncertainty nexus for the whole sample, the analysis also investigates this relationship in two subperiods, i.e., 2004:5–2010:10 and 2010:11:2019:12 considering the change in the monetary policy framework of the Central Bank of the Republic of Turkey (CBRT). The findings provide evidence that there exists unidirectional causality running from inflation to inflation uncertainty for both the whole sample and the second subperiod, while there is no causality between inflation and inflation uncertainty for the first subperiod. Overall, the results show that during the second subperiod (i) when the CBRT tried to achieve not only price stability, but also financial stability and (ii) when the inflation rate is more volatile and higher, the increase in the inflation rate results in an increase in inflation uncertainty.

中文翻译：

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结构性断裂下通货膨胀与通货膨胀不确定性之间的因果关系：来自土耳其的证据

本文的目的是通过2004：01–2019：12期间的月度数据检查土耳其的通货膨胀与通货膨胀不确定性之间的关系。为此，本文首先使用通货膨胀数据建立了通货膨胀不确定性系列。其次，它研究了通货膨胀与通货膨胀不确定性之间的协整关系。最后，它寻找通货膨胀与通货膨胀不确定性之间的因果关系。本文采用计量经济学方法，明确考虑结构性断裂。在检查了整个样本的通货膨胀-通货膨胀不确定性联系后，分析还考虑了货币政策框架的变化，在两个子时期（即2004：5–2010：10和2010：11：2019：12）中研究了这种关系。土耳其共和国中央银行（CBRT）。这些发现提供了证据，表明整个样本和第二个子周期都存在从通货膨胀到通货膨胀不确定性的单向因果关系，而在第一个子周期的通货膨胀和通货膨胀不确定性之间没有因果关系。总体而言，结果表明，在第二个子阶段（i）CBRT不仅试图实现价格稳定，而且还试图实现金融稳定；以及（ii）当通货膨胀率波动更大且更高时，通货膨胀率的上升导致通胀不确定性增加。