An analysis of inflation persistence taking into account of breaks with autoregressive modelling: Case of Turkey

The speed and stability of the response to the shocks by policy practitioners affect the confidence of the markets. Inflation persistence is a coefficient that shows how quickly the the inflation value will return to the long-term average value after a shock occurred in the inflation series. The lower this value, the faster the return to the long-term average value of inflation. In this study, monthly CPI inflation data covering the period 1982-2017, annual CPI inflation data covering the period 1940-2017, annual GDP deflator data for the period 1925-2017, annual GNP deflator data covering the period 1925-2006 and the monthly PPI inflation data covering the period 1982-2017 for Turkish economy were analyzed by the univariate approach. When the results are examined, there are generally two breaks in the inflation series and it is understood that there is a downword trend in inflation persistence.