TÜRKİYE EKONOMİSİNDE ENFLASYON VE ENFLASYON BELİRSİZLİĞİ ARASINDAKİ NEDENSELLİK İLİŞKİSİ İÇİN YENİ ZAMAN SERİSİ BULGULARI

Abstract

Bu çalışmada, Türkiye ekonomisinde enflasyon ve enflasyon belirsizliği arasındaki ilişki çağdaş Üssel GARCH EGARCH tahmin yöntemi kullanılarak incelenmeye çalışılmaktadır. Bulgularımız enflasyonun enflasyon belirsizliğine yol açtığını göstermekte ve bu ilişkinin bilgi içeriğiyle ilgili olarak, enflasyonun koşullu varyansı geşmiş pozitif şoklara aynı büyüklükteki negatif değişikliklerden daha fazla tepki vermektedir. Enflasyon ve enflasyon belirsizliği arasındaki nedensellik çözümlemesi enflasyonun enflasyon belirsizliğinin Granger-nedeni olduğunu, diğer bir deyişle, enflasyon belirsizliğini öncelediğini ortaya koymakta, fakat ters yönlü kesin ve anlamlı bir bulgu elde edilememektedir. Ayrıca, bir vektör ardışık bağlanım yapısı içerisinde tahmin edilen genelleştirilmiş etki tepki çözümlemesi bu bulguları destekleyici sonuçlar üretmektedir

Keywords

• Enflasyon , Enflasyon Belirsizliği , Granger Nedensellik Çözümlemesi , EGARCH Modellemesi , Etki Tepki Çözümlemesi

NEW TIME SERIES EVIDENCE FOR THE CAUSALITY RELATIONSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY IN THE TURKISH ECONOMY

Abstract

This paper aims to investigate the relationship between inflation and inflation uncertainty in the Turkish economy by using contemporaneous Exponential GARCH EGARCH estimation methodology. Our findings indicate that inflation leads to inflation uncertainty, and dealing with the information content of this relationship, the conditional variance of inflation reacts more to past positive shocks than to negative innovations of equal size. Causality analysis between inflation and inflation uncertainty reveals that inflation Granger- causes, or in other words, precedes inflation uncertainty, but no clear-cut and significant evidence in the opposite direction can be obtained. Furthermore, generalized impulse response analysis estimated in a vector autoregressive framework yields supportive results to these findings.

Keywords

• Inflation, Inflation Uncertainty, Granger Causality Analysis, EGARCH Modelling, Impulse Response Analysis

References

1. AKYAZI, H., ARTAN, S. (2004). Türkiye’de enflasyon-enflasyon belirsizliği ilişkisi ve enflasyon hedeflemesinin enflasyon belirsizliğini azaltmadaki rolü. Türkiye Bankalar Birliği Bankacılar Dergisi, Mart, sayı 48, 3-17.ss.
2. BALL, L., CECCHETTI, S.G. (1990). Inflation and uncertainty at short and long horizons. Brookings Papers on Economic Activity, vol. 1, pp. 215-254.
3. BALL, L. (1992). Why does higher inflation raise inflation uncertainty?. Journal of Monetary Economics, vol. 29, pp. 371-378.
4. BOLLERSLEV, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, vol. 31, pp. 307-327.
5. BOLLERSLEV, T., WOOLDRIDGE, J.M. (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews, vol. 11, 143-172.
6. CAPORALE, T., MCKIERNAN, B. (1997). High and variable inflation: further evidence on the Friedman hypothesis. Economics Letters, vol. 54, pp. 65-68.
7. CUKIERMAN, A. (1992). Central bank strategy, credibility, and independence. MIT Press, Cambridge.
8. CUKIERMAN, A., MELTZER, A. (1986). A theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica, vol. 54, September, pp. 1099-1128.

9. DAAL, E., NAKA, A., SANCHEZ, B. (2005). Re-examining inflation and inflation uncertainty in developed and emerging countries. Economics Letters, vol. 89, pp. 180- 186.
10. DAVIS, G.K., KANAGO, B.E. (2000). The level and uncertainty of inflation: results from OECD forecasts. Economic Inquiry, vol. 38, no. 1, pp. 58-72.
11. DEVEREUX, M. (1989). A positive theory of inflation and inflation variance. Economic Inquiry, vol. 27, January, pp. 105-116.
12. ENDERS, W. (2004). Applied econometric time series. Wiley&Suns, Inc.
13. ENGLE, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, vol. 50, pp. 987-1008.
14. ENGLE, R.F., LILIEN, D.M., ROBINS, R.P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, 391–407.
15. ERTUĞRUL, A., SELÇUK, F. (2002). A brief account of the Turkish economy. In: A. Kibritçioğlu, L. Rittenberg and F. Selçuk (eds.), Inflation and disinflation in Turkey, Ashgate Publishing Limited, pp. 13-40.
16. FOUNTAS, S. (2001). The relationship between inflation and inflation uncertainty in the UK: 1885-1998. Economics Letters, vol. 74, pp. 77-83.
17. FRIEDMAN, M. (1977). Nobel lecture: inflation and unemployment. Journal of Political Economy, vol. 85, no. 3, pp. 451-472.
18. GREEN, W.H. (2000). Econometric analysis. Prentice-Hall, Inc.
19. GRIER, K.B., PERRY, M.J. (1998). On inflation and inflation uncertainty in the G7 countries. Journal of International Money and Finance, vol. 17, no. 4, pp. 671-689.
20. GRIER, K.B., PERRY, M.J. (2000). The effects of real and nominal uncertainty on inflation and output growth: some Garch-M evidence. Journal of Applied Econometrics, vol. 15, no. 1, pp. 45-58.
21. HENRY, Ó. T., OLEKALNS, N., SUARDI, S. (2007). Testing for rate dependence and asymmetry in inflation uncertainty: evidence from the G7 economies. Economics Letters, vol. 94, pp. 383-388.
22. HOLLAND, A.S. (1995). Inflation and uncertainty: tests for temporal ordering. Journal of Money, Credit, and Banking, vol. 27, no. 3, pp. 827-837.
23. HWANG, Y. (2001). Relationship between inflation rate and inflation uncertainty. Economics Letters, vol. 73, pp. 179-186.
24. KİBRİTÇİOĞLU, A. (2002). Causes of Inflation in Turkey: A Literature Survey with Special Reference to Theories of Inflation. In: A. Kibritçioğlu, L. Rittenberg and F. Selçuk (eds.), Inflation and disinflation in Turkey, Ashgate Publishing Limited, pp. 43- 76.
25. KONTONIKAS, A. (2004). Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling. Economic Modelling, vol. 21, pp. 525-543.
26. KOOP, G., PESARAN, M.H., POTTER, S.M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, vol. 74, pp. 119-147.
27. NAS, T.F., PERRY, M.J. (2000). Inflation, inflation uncertainty, and monetary policy in Turkey: 1960-1998. Contemporary Economic Policy, vol. 18, no. 2, pp. 170-180.
28. NELSON, D.B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, vol. 59, no. 2, pp. 347-370.
29. NEYAPTI, B., KAYA, N. (2001). Inflation and inflation uncertainty in Turkey: evidence from the past two decades. Yapı Kredi Economic Review, vol. 12, no. 2, pp. 21-25.
30. OKUN, A. (1971). The mirage of steady inflation. Brookings Papers on Economic Activity, vol. 2, pp. 485-498.
31. ÖZDEMİR, Z.A., FİSUNOĞLU, M. (2008). On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: a long memory approach. International Review of Economics & Finance, vol. 17, no. 1, 2008, pp. 1-12.
32. ÖZER, M., TÜRKYILMAZ, S. (2005). Türkiye’de enflasyon ile enflasyon belirsizliği arasındaki ilişkinin zaman serisi analizi. İktisat İşletme ve Finans, 5, (229) 93-104.ss.
33. PESARAN, M.H., SHIN, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economic Letters, vol. 58, pp. 17-29.
34. TELATAR, F. (2003). Türkiye’de enflasyon, enflasyon belirsizliği ve siyasi belirsizlik arasındaki nedensellik ilişkileri. İktisat İşletme ve Finans, cilt 18, sayı 203, 42-51.ss.
35. TELATAR, F., TELATAR, E. (2003). The relationship between inflation and different sources of inflation uncertainty in Turkey. Applied Economics Letters, vol. 10, no. 7, pp. 431-435.