ANALYZING OF TIME VARYING RELATINSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY: A CASE OF TURKEY

Abstract

Inflation uncertainty is one of the most important costs for the real economy. A rise of inflation causes deterioration in pricing behavior, which leads to decrease of investments and welfare loss. Therefore, the relationship between inflation and inflation uncertainty is an important factor in determination of monetary policies performed by central banks. For this reason, this study examines the causality relationship between inflation and inflation uncertainty in framework of a time varying approach in Turkey during the period of 1997 January-February 2022. Inflation uncertainty is measured by Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. Time varying Granger causality is used to analyze so-called relationship. The findings show there is a bidirectional Granger causality relationship between inflation and inflation uncertainty in 2008. Besides, it is found that inflation uncertainty increases inflation in 2020. These results mean that Friedman-Ball and Cukierman-Meltzer hypotheses are valid in Turkey.

Keywords

• Inflation
• inflation uncertainty
• monetary policy
• GARCH model
• time-varying Granger causality

ENFLASYON VE ENFLASYON BELİRSİZLİĞİ ARASINDAKİ ZAMANLA DEĞİŞEN İLİŞKİNİN ANALİZİ: TÜRKİYE ÖRNEĞİ

Abstract

Enflasyon belirsizliği, reel ekonomi için enflasyonun en önemli maliyetlerinden birini temsil etmektedir. Enflasyon belirsizliğinin yükselmesi, fiyatlama davranışlarını bozulmasına neden olarak, yatırımların ertelenmesine ve refah kaybına yol açmaktadır. Enflasyon ve enflasyon belirsizliği, bir ekonomideki finansal istikrara ilişkin temel göstergelerdir. Bundan dolayı, enflasyon ve enflasyon belirsizliği arasındaki ilişki merkez bankalarının para politikaları uygulamalarında dikkate aldıkları önemli bir faktördür. Bu doğrultuda, bu çalışmada Türkiye’de Ocak 1997 - Şubat 2022 döneminde enflasyon ve enflasyon belirsizliği arasındaki nedensellik ilişkisi zamanla değişen yaklaşım çerçevesinde analiz edilmiştir. Çalışmada enflasyon belirsizliğini ölçmek amacıyla Genelleştirilmiş Otoregresif Koşullu Değişen Varyans (GARCH) modelinden yararlanılmıştır. Enflasyon ve enflasyon belirsizliği arasındaki ilişkinin incelenmesinde ise zamanla değişen Granger nedensellik analizinden yararlanılmıştır. Çalışmanın sonucunde elde edilen bulgular, 2008 yılında enflasyon ve enflasyon belirsizliği arasında çift yönlü bir Granger nedensellik ilişkisinin varlığını göstermektedir. 2020 yılında ise enflasyon belirsizliğinin enflasyonu arttırdığı tespit edilmiştir. Elde edilen bu sonuçlar, Türkiye’de ilgili dönemde Friedman-Ball ve Cukierman-Meltzer hipotezlerinin geçerli olduğunu göstermektedir.

Keywords

• Enflasyon
• enflasyon belirsizliği
• para politikası
• GARCH model
• zamanla değişen Granger nedensellik

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