Türk Cumhuriyetleri’nde Enflasyon Belirsizliği ile Enflasyon Oranları Arasındaki İlişkinin İncelenmesi: Zamanla Değişen Stokastik Volatilite Modeline Dayalı Analizler

Abstract

Bu çalışmada Azerbaycan, Kazakistan, Özbekistan, Kırgızistan ve Tacikistan ekonomileri için enflasyon belirsizliği ile enflasyon oranları arasındaki ilişki güncel ve alternatif bir yaklaşım olan zamanla değişen stokastik volatilite modeli kullanılarak incelenmiştir. Farklı yaklaşımlara karşı dirençli sonuçlar elde edebilmek amacıyla çalışmada statik stokastik volatilite modeline dayalı bulgulara da yer verilmiştir. Bu modellerin tahmininde Bayesyen yaklaşımına dayalı Markov Chain Monte Carlo (MCMC) algoritmasından yararlanılmıştır. Çalışma bulguları inceleme kapsamındaki tüm Türk Cumhuriyetleri için enflasyon belirsizliğinin enflasyon oranları üzerindeki etkisinin pozitif ve istatistiki olarak anlamlı olduğu sonucuna işaret etmektedir. Bulgular ayrıca bu etkinin özellikle Tacikistan, Kazakistan ve Özbekistan ekonomileri için çok daha belirgin olarak ortaya çıktığını göstermektedir. Bir dönem gecikmeli enflasyon oranlarının ise cari dönem enflasyon belirsizliği üzerinde istatistiki olarak anlamlı bir etkisinin bulunmadığı tespit edilmiştir. Bulgular enflasyonla mücadele, makroekonomik istikrarın sağlanması ve sürdürülebilir ekonomik büyüme oranlarına ulaşılabilmesi açısından ilgili Türk Cumhuriyetleri’ndeki politika yapıcılara önemli bilgiler sunmaktadır.

Keywords

• Türk Cumhuriyetleri
• enflasyon
• enflasyon belirsizliği
• güncel stokastik volatilite modeli
• geleneksel stokastik volatilite modeli

Examining the Inflation and Inflation Uncertainty Relationship for Turkic Republics: Further Evidence from Stochastic Volatility in Mean Model with Time-Varying Parameters

Abstract

The aim of this study is to investigate the dynamic nexus between inflation and inflation uncertainty for Turkic Republics – namely Azerbaijan, Kazakhstan, Uzbekistan, Kyrgyzstan and Tajikistan – using the stochastic volatility in mean model with time-varying parameters, which is a new, more flexible and alternative model. To obtain reliable robust results to different approaches, the study also considers the conventional stochastic volatility in mean model with constant coefficient. Both models are estimated by means of Bayesian efficient Markov chain Monte Carlo (MCMC) sampling method. The findings indicate that the impacts of inflation uncertainty on inflation rates is positive and statistically significant for all Turkic Republics examined, with the more pronounced impact particularly for the economies of Tajikistan, Kazakhstan and Uzbekistan, whereas the one-period lagged inflation rates has a statistically insignificant impact on current inflation uncertainty for all the Turkic Republics considered. The findings provide important information to policy makers in the relevant Turkic Republics in terms of achieving price stability, thus ensuring macroeconomic stability and reaching the sustainable long-term economic growth rates.

Keywords

• Turkic Republics
• inflation
• inflation uncertainty
• novel stochastic volatility model
• conventional stochastic volatility model

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