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Farklı Para Politikası Rejimlerinde Enflasyon Belirsizliği ve Enflasyon İlişkisi

Year 2013, Volume: 7 Issue: 2, 77 - 99, 01.12.2013

Bülent Doğru

Abstract

Bu çalışmanın amacı enflasyon ve enflasyon belirsizliği arasındaki ilişkiyi 1990:1-2012:12 periyodunda dört farklı para politikası rejimi için EGARCH ve Granger nedensellik yöntemlerini kullanarak Türkiye için analiz etmektir. Çalışmada kullanılan enflasyon verileri aylık Tüketici Fiyat Endeksi TÜFE ’nin logaritmik farkıdır. Elde edilen ekonometrik bulgulara göre Türkiye’de 1990 ve 2012 arası dönemde yüksek enflasyonun enflasyon belirsizliğini azaltacağı hipotezi hem kısa hem de uzun dönemde güçlü bir şekilde desteklenmektedir. Ayrıca Türkiye’de uygulanan para politikası rejimleri değişse de kısa vadede enflasyon belirsizliği her rejimde enflasyonu artırıcı bir rol oynamaktadır

Keywords

EGARCH Enflasyon Enflasyon Belirsizliği Para Politikası Rejimleri

References

  • Erkam, S. (2008), “Enflasyon ve Enflasyon Belirsizliği: Türkiye Örneği”, Sosyo Ekonomi, Ocak-Haziran 2008-1: 158-175
  • Eviews 7 User’s Guide II. (2010), Quantitative Micro Software, LLC, Irvine , USA
  • Fountas, S., Ioannidi, A. ve Karanasos, M. (2004), “Inflation, Inflation- Uncertainty, and a Common European Monetary Policy”, Manchester School, 72(2), 221-242.
  • Grier, K.B. ve Perry, M.J. (1998), “On Inflation and Inflation Uncertainty in the G7Countries”, Journal of International Money and Finance, 17(4), 67.
  • Holland, A.S. (1995), “Inflation and Uncertainty: Tests for Temporal Ordering”, Journal of Money, Credit and Banking, 27(3), 827-837.
  • Jaffee, D. and Kleiman, E. (1977), The Welfare Implications of Uneven Inflation,In Inflation Theory and Anti-Inflation Policy, edited by E. Lundberg, Boulder,Colo: West-view Press.
  • Karanasos, M., Karanassou, M. and Fountas, S. (2004). “Analyzing US inflation by a GARCH model with simultaneous feedbac. WSEAS Transactions on Information Science and Applications, 1.2: 767-772.
  • Keşkek, S. ve Orhan, M. (2010), “Inflation and Inflation Uncertainty in Turkey”, Applied Economics, 42(10), 1281-1291.
  • Nas, T.F. ve Perry, M.J. (2000), “Inflation, Inflation Uncertainty, and Monetary Policy in Turkey: 1960-1998”, Contemporary Economic Policy, 18(2), 170-180.
  • Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”,Econometrica, 59(2), 347-370.
  • Neyapti, B. (2000), “Inflation and Inflation Uncertainty in Turkey: Evidence from the past two decades”, Bilkent Üniversitesi Tartışma Metni.
  • Oltulular, A. ve Terzi, H. (2006), “Yüksek Enflasyon Enflasyon Belirsizliğini Artırıyor mu?”,Ekonometri ve İstatistik, 3, 1–22.
  • Özer, M., Turkyilmaz, S. A. (2005). Time series analysis of inflation and inflation variability in Turkey. Journal of Economics, Management and Finance, 20, 229.
  • Pourgerami, A. ve Maskus, K.E. (1987), “The Effects of Inflation on the Predictability of Price Changes in Latin America: Some Estimates and Policy Implications”, World Development, 15(2), 287-290.
  • Telatar, F. (2003), “Türkiye’de Enflasyon, Enflasyon Belirsizliği ve Siyasi Belirsizlik Arasındaki Nedensellik İlişkileri”, İktisat İşletme ve Finans, 2003(2), 43-51.
  • Thornton, J. (2007), “The Relationship between Inflation and Inflation Uncertainty in Emerging Market”. Southern Economic Journal, 73(4), 858- 870.
  • Thornton, J. (2008), “Inflation and Inflation Uncertainity in Argentina, 1810- 2005”,Economics Letters, 99(3), 247-252.

The Relationship Between Inflation and Inflation Uncertainty Under Different Monetary Policy Regimes

Year 2013, Volume: 7 Issue: 2, 77 - 99, 01.12.2013

Bülent Doğru

Abstract

The Relationship Between Inflation and Inflation Uncertainty Under Different Monetary Policy Regimes The purpose of this study is to analyze the relationship inflation and inflation uncertainty of Turkey for four different monetary policy regimes using EGARCH and Granger causality methods over 1990: 1-2012: 12. In this study, the monthly logarithmic difference of the Consumer Price Index CPI used. The econometric findings suggest that the hyothesis that high inflation reduces inflation uncertainty is strongly supported both for short and longterm in Turkey for the time period 1990 and 2012. Furthermore, in Turkey for each monetary policy regimes in the short-term inflation uncertainty plays a role in increasing inflation in Turkey

Keywords

EGARCH Inflation Inflation Uncertainty Monetary Policy Regimes

References

  • Erkam, S. (2008), “Enflasyon ve Enflasyon Belirsizliği: Türkiye Örneği”, Sosyo Ekonomi, Ocak-Haziran 2008-1: 158-175
  • Eviews 7 User’s Guide II. (2010), Quantitative Micro Software, LLC, Irvine , USA
  • Fountas, S., Ioannidi, A. ve Karanasos, M. (2004), “Inflation, Inflation- Uncertainty, and a Common European Monetary Policy”, Manchester School, 72(2), 221-242.
  • Grier, K.B. ve Perry, M.J. (1998), “On Inflation and Inflation Uncertainty in the G7Countries”, Journal of International Money and Finance, 17(4), 67.
  • Holland, A.S. (1995), “Inflation and Uncertainty: Tests for Temporal Ordering”, Journal of Money, Credit and Banking, 27(3), 827-837.
  • Jaffee, D. and Kleiman, E. (1977), The Welfare Implications of Uneven Inflation,In Inflation Theory and Anti-Inflation Policy, edited by E. Lundberg, Boulder,Colo: West-view Press.
  • Karanasos, M., Karanassou, M. and Fountas, S. (2004). “Analyzing US inflation by a GARCH model with simultaneous feedbac. WSEAS Transactions on Information Science and Applications, 1.2: 767-772.
  • Keşkek, S. ve Orhan, M. (2010), “Inflation and Inflation Uncertainty in Turkey”, Applied Economics, 42(10), 1281-1291.
  • Nas, T.F. ve Perry, M.J. (2000), “Inflation, Inflation Uncertainty, and Monetary Policy in Turkey: 1960-1998”, Contemporary Economic Policy, 18(2), 170-180.
  • Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”,Econometrica, 59(2), 347-370.
  • Neyapti, B. (2000), “Inflation and Inflation Uncertainty in Turkey: Evidence from the past two decades”, Bilkent Üniversitesi Tartışma Metni.
  • Oltulular, A. ve Terzi, H. (2006), “Yüksek Enflasyon Enflasyon Belirsizliğini Artırıyor mu?”,Ekonometri ve İstatistik, 3, 1–22.
  • Özer, M., Turkyilmaz, S. A. (2005). Time series analysis of inflation and inflation variability in Turkey. Journal of Economics, Management and Finance, 20, 229.
  • Pourgerami, A. ve Maskus, K.E. (1987), “The Effects of Inflation on the Predictability of Price Changes in Latin America: Some Estimates and Policy Implications”, World Development, 15(2), 287-290.
  • Telatar, F. (2003), “Türkiye’de Enflasyon, Enflasyon Belirsizliği ve Siyasi Belirsizlik Arasındaki Nedensellik İlişkileri”, İktisat İşletme ve Finans, 2003(2), 43-51.
  • Thornton, J. (2007), “The Relationship between Inflation and Inflation Uncertainty in Emerging Market”. Southern Economic Journal, 73(4), 858- 870.
  • Thornton, J. (2008), “Inflation and Inflation Uncertainity in Argentina, 1810- 2005”,Economics Letters, 99(3), 247-252.
There are 17 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Bülent Doğru This is me

Publication Date December 1, 2013
Published in Issue Year 2013 Volume: 7 Issue: 2

Cite

APA Doğru, B. (2013). Farklı Para Politikası Rejimlerinde Enflasyon Belirsizliği ve Enflasyon İlişkisi. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 7(2), 77-99.