ENFLASYON BELİRSİZLİĞİNİN FİYAT BİLEŞENLERİ ÜZERİNE ETKİSİ: TÜRKİYE ÖRNEĞİ

Year 2014, Volume: 28 Issue: 1, 21 - 40, 02.01.2014

Pınar Kaya Samut , Pınar Kaya Samut

Abstract

Bu çalışmada, enflasyon belirsizliği ile fiyatlar genel düzeyini
oluşturan fiyat alt kalemleri arasındaki ilişki incelenmiştir. Enflasyon
belirsizliğine, fiyatlar genel seviyesindeki hangi alt kalemlerin neden olduğunun
ve belirsizliğin hangi alt kalemlerin fiyatlarını daha çok etkilediğinin ortaya
çıkarılması amaçlanmıştır. 2003:01-2011:09 dönemi Türkiye ekonomisinin
incelendiği çalışmada, enflasyon belirsizliği, enflasyon sürecinin koşullu
varyansı olarak tanımlanarak elde edilmiştir. Enflasyon süreci sadece kendi
geçmiş değerlerinin bir fonksiyonu olarak değil, para arzı (money supply),
sanayi üretim endeksi(industrial production index), döviz kuru (exchange rate)
ve faiz oranı (interest rate) değişkenlerinden oluşan bir bilgi kümesine bağlı
olarak kestirilmiştir. Granger causality testi, Impulse Response ve Variance
Decompositions Analysis kullanılarak fiyat alt kalemleri ile enflasyon
belirsizliği arasındaki ilişkiler araştırılmıştır. Bulgulara göre, enflasyon
belirsizliğinin, fiyatlar genel seviyesini oluşturan fiyat alt kalemleri üzerindeki
etkisi ve benzer şekilde fiyatlar genel seviyesini oluşturan fiyat alt kalemlerinin
de enflasyon belirsizliğine etkisi farklılık göstermektedir.

Keywords

Enflasyon Belirsizliği, Fiyat Bileşenleri, Granger Nedensllik Testi, Etki Tepki Fonksiyonları, Varyans Ayrıştırması, Ng-Perron Birim Kök Testi, Türkiye.

THE EFFECT OF INFLATION UNCERTAINTY ON PRICE COMPONENTS: THE CASE OF TURKEY

Abstract

This study examines the relationship between inflation uncertainty and price components in general price level. It examines which price components at general price level cause inflation uncertainty, and also which price components are more affected by such uncertainty. The Turkish economy is observed with regard to the time period between January 2003 and September 2011, and inflation uncertainty is obtained by being defined as conditional variance within the inflation process, which itself is estimated according to not only a function of its past values, but also a set of data including money supply, industrial production index, exchange rate, and interest rate. The relationship between price components and inflation uncertainty is analysed, using Granger Causality Test, Impulse Response and Variance Decompositions Analysis. As per the findings, the effect of inflation uncertainty on the price components of general price level, and similarly, the effects of price components of general price level on the inflation uncertainty differ.

Keywords

Inflation Uncertainty, Price Components, Granger Causality Test, Impulse Response Analysis, Variance Decomposition, Ng-Perron Unit Root Test, Turkey.

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