Inflationary Effects of Oil Prices in Turkey: A Regime-Switching Approach
Makaleler > Tam Makale · 2011
Yazarlar: Abdurrahman Nazif ÇATIK, Asiye Özlem ÖNDER
Emerging Markets Finance and Trade, SCI Expanded İndekslerine Giren Dergi, Uluslararası, Wos, 2011, cilt 47, ss 125-140
DOI: 10.2753/ree1540-496x470506
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.