The aim of this paper is to illustrate the long memory characteristics of the Turkish inflation rates and to analyze the potential inflation persistence. Our empirical analysis is carried out for inflation series of Turkey during the period of 1980-2013. We used the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model and find that inflation in Turkey has long memory properties when structural breaks are not taken into account. When structural changes are considered, the long memory properties show different and ambiguous results. The exogenously identified structural changes have altered the dynamic structure of the inflation process and weakened the long memory characteristics of the series.
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