Beklenen Enflasyon Verilerinde Kaos Varlığının İncelenmesi(Investigation of the Existence of Chaos in Expected Inflation Data)

Abstract

This study investigates the chaotic nature of expected inflation. Expected inflation is a very important macroeconomic indicator for economists and policy makers. The formation of expected inflation is a prediction value covering many technical details, and many factors are taken into account while creating this predictive value, and ultimately a forecast value emerges. The possible existence of chaos in expected inflation is important in terms of models to be established. In this context, BDS independence test was performed on the data, the correlation dimension was obtained and then the largest positive Lyapunov exponent (LLE) was found. Necessary tests were carried out for the data of the current month's CPI expectations for the period 2001: 08-2020: 11, while the results of BDS test and correlation analysis indicated chaos, the largest Lyapunov exponent (LLE) showed that the chaotic structure was not detected in the data

Keywords

• expected inflation
• nonlinearity
• chaos
• lyapunov exponent