This study first investigates the short and long-run effects of exchange rate, output gap and output gap volatility on inflation volatility in Turkey by using the ARDL bounds testing approach. Second, we also examine the causal relationship among these variables by using Toda-Yamamoto and frequency domain causality tests developed by Breitung and Candelon. The results of the ARDL estimates indicate that the exchange rate, output gap and output gap volatility have statistically significant effects on inflation volatility. Also, causality tests results indicate that changes in the exchange rate, output gap volatility, and output gap will have permanent and temporary causal effects on inflation volatility. The policymakers should carefully consider these results to implement appropriate policies to reduce inflation volatility. The finding that the shocks are of temporary nature will have particularly important implications on the policies fighting against the inflation. This study contributes to the empirical inflation literature by identifying both short run and long run effects of the exchange rate and output gap volatility and output gap together, as well as by providing evidence about the structure of the shocks created by these variables on inflation volatility. This study also identifies the sources of temporary and permanent shocks of inflation volatility.

中文翻译：

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汇率、产出缺口和产出缺口波动对土耳其通胀波动的影响

本研究首先使用 ARDL 边界检验方法研究汇率、产出缺口和产出缺口波动对土耳其通胀波动的短期和长期影响。其次，我们还通过使用由 Breitung 和 Candelon 开发的 Toda-Yamamoto 和频域因果关系检验来检验这些变量之间的因果关系。ARDL 的估计结果表明，汇率、产出缺口和产出缺口波动率对通胀波动率具有统计上显着的影响。此外，因果关系检验结果表明，汇率变化、产出缺口波动率和产出缺口对通货膨胀波动率具有永久性和暂时性的因果影响。政策制定者应仔细考虑这些结果，以实施适当的政策来降低通胀波动。冲击是暂时性的这一发现将对对抗通胀的政策产生特别重要的影响。这项研究通过识别汇率的短期和长期影响以及产出缺口波动和产出缺口，以及提供关于这些变量对通胀波动产生的冲击结构的证据，为实证通胀文献做出了贡献。这项研究还确定了通货膨胀波动的暂时性和永久性冲击的来源。以及提供有关这些变量对通货膨胀波动造成的冲击结构的证据。这项研究还确定了通货膨胀波动的暂时性和永久性冲击的来源。以及提供有关这些变量对通货膨胀波动造成的冲击结构的证据。这项研究还确定了通货膨胀波动的暂时性和永久性冲击的来源。