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

Year 2025, Issue: 115, 111 - 143, 27.10.2025

Önder Büberkökü

https://doi.org/10.12995/bilig.7952

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

References

• Ağayev, Seymur. “Düşük Enflasyon Döneminde Azerbaycan’da Fiyatlar Genel Düzeyi ve Para Arzı İlişkisi.” Akdeniz İİBF Dergisi, vol. 12, no. 23, 2012, ss. 135–155.
• Ağazade, Seymur. “Petrol Fiyatları ve Kazakistan Reel Döviz Kuru: ARDL Sınır Testi Yaklaşımı.” bilig, no. 94, 2020, ss. 217–248.
• Akib Aktüel. No. 36, 2014 Şubat, https://www.akib.org.tr/files/downloads/akib_aktuel/akib36sayi.pdf.
• Akyazı, Haydar, ve Seyfettin Artan. “Türkiye’de Enflasyon-Enflasyon Belirsizliği İlişkisi ve Enflasyon Hedeflemesinin Enflasyon Belirsizliğini Azaltmadaki Rolü.” Bankacılar Dergisi, no. 48, 2004, ss. 3–17.
• Albulescu, Claudiu Tiberiu, ve diğerleri. “Time–Frequency Relationship between US Inflation and Inflation Uncertainty: Evidence from Historical Data.” Scottish Journal of Political Economy, vol. 66, no. 5, 2019, ss. 673–702.
• Altuntaş, Özgür. “Merkez Bankası Bağımsızlığı: Avrupa Merkez Bankası ve Türkiye Cumhuriyet Merkez Bankası Karşılaştırması.” Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, vol. 12, 2012, ss. 73– 84.
• Aziz, Hakim, ve Shahmar Pashayev. “Azerbaycan 2015 Devalüasyonunun Reel Ekonomi ve Bankacılık Sektörü Üzerindeki Etkileri.” Uluslararası Finansal Ekonomi ve Bankacılık Uygulamaları Dergisi, vol. 1, no. 1, 2018, ss. 32–48.
• Bal, Harun, ve diğerleri. “Enflasyon Belirsizliği ve Friedman-Ball Hipotezi: Türkiye Örneği.” Journal of Eurasian Economies, vol. 1, no.1, 2022, ss. 1–15.
• Balcilar, Mehmet, ve Zeynel Abidin Ozdemir. “A Re-examination of Growth and Growth Uncertainty Relationship in a Stochastic Volatility in the Mean Model with Time-Varying Parameters.” Empirica, vol. 47, no. 3, 2019, ss. 611–641.
• Ball, Laurence. “Why Does High Inflation Raise Inflation Uncertainty?” Journal of Monetary Economics, vol. 29, no. 3, 1992, ss. 371–388.
• Barnett, William Arnold, ve diğerleri. “Causal Relationships between Inflation and Inflation Uncertainty.” Studies in Nonlinear Dynamics & Econometrics, vol. 24, no. 5, 2020, ss. 20190094.
• Berument, Hakan, ve diğerleri. “The Effect of Inflation Uncertainty on Inflation: Stochastic Volatility in Mean Model within a Dynamic Framework.” Economic Modelling, vol. 26, no. 6, 2009, ss. 1201–1207.
• Berument, Hakan, ve diğerleri. “Inflation and Inflation Uncertainty: A Dynamic Framework.” Physica A: Statistical Mechanics and its Applications, vol. 391, no. 20, 2012, ss. 4816–4826.
• Buth, Bora, ve diğerleri. “Inflation and Inflation Uncertainty: The Case of Cambodia, Lao PDR, and Vietnam.” Journal of Asian Economics, vol. 38, 2015, ss. 31–43.
• Caporale, Guglielmo Maria, ve diğerleri. “Inflation and Inflation Uncertainty in the Euro Area.” Empirical Economics, vol. 43, 2012, ss. 597–615.
• Chan, Joshua C.C. “The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling.” Journal of Business & Economic Statistics, vol. 35, no. 1, 2017, ss. 17–28.
• Chan, Joshua C. C., ve Angelia L. Grant. “Modelling Energy Price Dynamics: GARCH Versus Stochastic Volatility.” Energy Economics, 54, 2016, ss. 182–189.
• Chen, Shyh-Wei, ve diğerleri. “Evidence of a Nonlinear Relationship between Inflation and Inflation Uncertainty: The Case of the Four Little Dragons.” Journal of Policy Modeling, vol. 30, no. 2, 2008, ss. 363–376.
• Chorshanbiyev, Payrav. “Tajikistan Plans to Curb 2012 Inflation at 10.5 percent.” ASIA-Plus, 19 January 2012, 18.01.2024, https://old.asiaplustj.info/en/news/tajikistan/20120119/tajikistan-plans-curb-2012- inflation-105-percent.
• Chowdhury, Abdur. “Inflation and Inflation-Uncertainty in India: The Policy Implications of the Relationship.” Journal of Economic Studies, vol. 41, no. 1, 2014, ss. 71–86.
• Conrad, Christian, ve Menelaos Karanasos. “On the Inflation-Uncertainty Hypothesis in the USA, Japan and the UK: a Dual Long Memory Approach.” Japan and the World Economy, vol. 17, no. 3, 2005, ss. 327–343.
• Cukierman, Alex, ve Allan H. Meltzer. “A Theory of Ambiguity, Credibility and Inflation under Discretion and Asymmetric Information.” Econometrica, vol. 54, no. 5, 1986, ss. 1099–1128.
• Development Coordination Council. “TAJIKISTAN: 2012 DEVELOPMENT FORUM.” 11 December 2012. 12.01.2024, https://www.worldbank.org/content/dam/Worldbank/document/Tajikistan-2012-De velopment-Forum-DCC-Presentation.pdf.
• DEİK: Dış Ekonomik İlişkiler Kurulu. “Kırgızistan Ülke Bülteni.” 2012, 18.01.2024, https://www.deik.org.tr/uploads/kirgizistan-ulke-bulteni.pdf.
• Dickey, David A., ve Wayne A. Fuller. “Distribution of the Estimators for Autoregressive Time Seres With a Unit Root.” Journal of the American Statistical Association, vol. 74, no. 366, 1979, ss. 427–431.
• Dickey David A., ve Wayne A. Fuller. “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, vol. 49, no. 4, 1981, ss. 1057–1072.
• Doğru, Bülent. “Farklı Para Politikası Rejimlerinde Enflasyon Belirsizliği ve Enflasyon İlişkisi.” BDDK Bankacılık ve Finansal Piyasalar, vol. 7, no. 2, 2013, ss. 77–99.
• Erer, Deniz. “Enflasyon ve Enflasyon Belirsizliği Arasındaki Zamanla Değişen İlişkinin Analizi: Türkiye Örneği.” Doğuş Üniversitesi Dergisi, vol. 24, no. 1, 2023, ss. 255–272.
• Ferreira, Diego, ve Andreza Aparecida Palma. “Assessing the Effect of Inflation Uncertainty on Inflation: Further Evidences for Latin America.” Journal of Economic Studies, vol. 44, no. 4, 2017, ss. 506–517.
• Fountas, Stilianos. “The Relationship between Inflation and Inflation Uncertainty in the UK: 1885–1998.” Economics Letters, vol. 74, no. 1, 2001, ss. 77–83.
• Friedman, Milton. “Nobel lecture: Inflation and Unemployment.” Journal of Political Economy, vol. 85, no. 3, 1977, ss. 451–472.
• Gazel, Mustafa. “Ülke Tanıtımı: Tacikistan.” Asya Araştırmaları Uluslararası Sosyal Bilimler Dergisi. vol. 6, no. 2, 2022, ss. 245–252.
• Holland, A. Steven. “Inflation and Uncertainty: Tests for Temporal Ordering.” Journal of Money, Credit and Banking, vol. 27, no. 3, 1995, ss. 827–837.
• IMF: International Monetary Fund. “Press Release: IMF Approves First Credit Tranche Stand-By for Republic of Tajikistan.” Press Release no. 96/22. 1996, 18.01.2024, https://www.imf.org/en/News/ Articles/2015/09/14/01/49/pr9622.
• IMF: International Monetary Fund. “Tajikistan Enhanced Structural Adjustment Facility Policy Framework Paper (1999–2002).” 18 June 1999, 14.01.2024, https://www.imf.org/e xternal/np /pfp/1999/tajik/.
• IMF: International Monetary Fund. “Tajikistan: Second Review Under the Third Annual Arrangement Under the Poverty Reduction and Growth Facility and Request for Waiver of a Performance Criterion— Staff Report and News Brief on the Executive Board Discussion.” IMF Country Report No, 01/115, 2001, 12.01.2024, https://www.elibrary.imf.org/view/journals/002/2001/115/article-A001-en.xml.
• Karahan, Özcan. “The Relationship between Inflation and Inflation Uncertainty: Evidence from the Turkish Economy.” Procedia Economics and Finance, vol. 1, 2012, ss. 219–228.
• Kaya, Samet, ve Esin Köksal Babacan. “Bayesci Yaklaşım ile Regresyon Modellerinde Parametre Tahmini.” Karadeniz Fen Bilimleri Dergisi, vol. 11, no. 2, 2021, ss. 439–462.
• Kim, Sangjoon, ve diğerleri. “Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.”, The Review of Economic Studies, vol. 65, no. 3, 1998, ss. 361–393.
• Koopman, Siem Jan, ve Eugenie Hol Uspensky. “The Stochastic Volatility in Mean Model: Empirical Evidence from International Stock Markets.” Journal of Applied Econometrics, vol. 17, no. 6, 2002, ss. 667–689.
• Le, Hai. “Modelling Inflation Dynamics: A Bayesian Comparison Between GARCH and Stochastic Volatility.” Economic Research-Ekonomska Istraživanja, vol. 36, no.1, 2023, ss. 2112–2136.
• Lee, Junsoo, ve Mark C. Strazicich. “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks.” The Review of Economics and Statistics, vol. 85, no. 4, 2003, ss. 1082–1089.
• Lee, Chien-Chiang, ve Chun-Ping Chang. “Trend Stationary of Inflation Rates: Evidence from LM Unit Root Testing with a Long Span of Historical Data.” Applied Economics, vol. 40, no. 19, 2008, ss. 2523– 2536.
• Muhammad, Salimov. The Impact of Inflation Targeting on Inflation Volatility. Master’s Thesis, Ritsumeikan Asia Pacific University, 2020.
• Öztürk, Musa. “An Essay on Inflation Hysteresis in Turkey.” Premium E-Journal of Social Sciences, vol. 5, no. 17, 2021, ss. 710–719.
• Payne, James E. “Inflation and Inflation Uncertainty: Evidence from The Caribbean Region.” Journal of Economic Studies, vol. 35, no. 6, 2008, ss. 501–511.
• Phillips, Peter C. B., ve Pierre Perron. “Testing for a Unit Root in Time Series Regression.” Biometrika, vol. 75, no. 2, 1988, ss. 335–346.
• Pourgerami, Abbas, ve Keith E. Maskus. “The Effects of Inflation on the Predictability of Price Changes in Latin America: Some Estimates and Policy Implications.” World Development, vol. 15, no. 2, 1987, ss. 287–290.
• Rasasi, Moayad Al, ve Ezequiel Cabezon. “Uzbekistan’s Transition to Inflation Targeting.” International Monetary Fund, 18 November 2022, 28.01.2024, https://www.imf.org/en/ Publications/ WP/Issues/2022/11/18/Uzbekistans-Transition-to-Inflation-Targeting-525745.
• Rizvi, Syed Kumail Abbas, ve diğerleri. “Inflation Volatility: An Asian perspective.” Economic Research-Ekonomska Istraživanja, vol. 27, no. 1, ss. 280–303.
• Rossi, Barbara, ve Yiru Wang. “VAR-based Granger-Causality Test in the Presence of Instabilities.” The Stata Journal, vol. 19, no. 4, 2019, ss. 883–899.
• Ryan, T. C. I., ve W.J. Milne. “Analysing Inflation in Developing Countries: An Econometric Study with Application to Kenya.” Journal of Development Studies, vol. 31, no. 1, 1994, ss. 134–156.
• Sharaf, Mesbah Fathy. “Inflation and Inflation Uncertainty Revisited: Evidence from Egypt.” Economies. vol. 3, no. 3, 2015, ss. 128–146.
• Tashrifov, Yusuf. “The Design of Monetary Policy in a Small Transitional Economy: The Case of Tajikistan.” Zagreb International Review of Economics & Business, vol. 11, no. 1, 2000, ss. 13–36.
• The National Bank of the Kyrgyz Republic. “Inflation Report Third Quarter of 2007.” November 2007, 24.01.2024, https://www.nbkr.kg/DOC/31072009/000.000.000001777.pdf.
• The National Bank of the Kyrgyz Republic. “Inflation Report Fourth Quarter of 2007.” February 2008, 30.01.2024, https://www.nbkr.kg/DOC/31072009/000.000.000001778.pdf.
• The World Bank. “Uzbekistan: Toward a New, More Open Economy.” 22 August 2019, 29.01.2024, https://www.worldbank.org/en/country/uzbekistan/publication/economic-update-summer- 2019#:~:text=Economic%20Outlook&text=Twelve%2Dmonth%20inflation%20peaked%20at,on%2Dyear%20by%20April%202019.
• Thornton, John. “The Relationship between Inflation and Inflation Uncertainty in Emerging Market Economies.” Southern Economic Journal, vol. 73, no. 4, 2007, ss. 858–870.
• Turdubekova, Zhainakul. Para Politikası Uygulamaları ve Enflasyon İlişkisi: Kırgizistan Örneği. Yüksek Lisans Tezi. Dokuz Eylül Üniversitesi, 2012.
• Varlik, Serdar, ve diğerleri. “The Time-Varying Effect of Inflation Uncertainty on Inflation for Turkey.” Applied Economics Letters, vol. 24, no. 13, 2017, ss. 961–967.
• van der Westhuizen, Chevaughn, ve diğerleri. “Is Inflation Uncertainty a Self-Fulfilling Prophecy in South Africa?.”, South African Journal of Economics, vol. 91, no. 3, 2023, ss. 306–329.
• Zhou, Su. “Nonlinearity and Stationarity of Inflation Rates: Evidence from the Euro-Zone Countries.” Applied Economics, vol. 45, no. 7, 2013, ss. 849–856.
• Živkov, Dejan, ve diğerleri. “Inflation Uncertainty and Output Growth – Evidence from the Asia-Pacific Countries Based on the Multiscale Bayesian Quantile Inference.” Finance a úvěr-Czech Journal of Economics and Finance, vol. 70, no. 5, ss. 461–486.
• Zivot, Eric, ve Donald W.K. Andrews. “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Journal of Business and Economic Statistics, vol. 10, no. 3, 1992, ss. 251–270.