Persistence of inflation and long term memory in Turkiye

This article examines the persistence of inflation in Turkey using an inflation series derived from quarterly Consumer Price Index data between 1955 and 2024. It is thought that Turkey's inflation experience inherently contains inertia, and therefore, persistence in the inflation series might be possible. Whether this is possible or not is estimated using ARFIMA, FIGARCH, and APARCH models. In other words, the existence of inertia in inflation and, if it exists, its magnitude are analyzed. The estimation results indicate that there is no significant persistence in the inflation series. Additionally, findings from the APARCH model show that negative shocks have a more lasting impact on inflation uncertainty compared to positive shocks. However, the effects of shocks on the inflation series are not long-term. In other words, rapid dissipation resulting in low levels of inflation uncertainty is observed.