An Estimation of the Open Economy Hybrid New Keynesian Phillips Curve for Turkey

Abstract

This study examines the inflation phenomenon employing monthly data set for the period 2002:01-2020:07 in Turkey. We separate the effects of dependency on imported intermediate goods and inputs in production using two different exchange rates. In this way, the direct effects arising from the USD / TL exchange rate and the indirect effects arising from the real effective exchange rate are revealed separately. In doing so, we also compare the sub-periods in which two separate trends occur in exchange rates. The results reveal that the real effective exchange rate has a more substantial effect. While this effect becomes more evident when the TL depreciates, it is seen that the USD / TL exchange rate is more determinant when the TL is stable. We find that both lagged and expected effects on inflation have a similar magnitude effect. This situation emphasizes the inertia and the importance of expectations in inflation. When the exchange rate increases, the effect of future expectations increases even more. The expected theoretical effect of the domestic output gap on inflation is statistically insignificant. According to the estimated model results, the effect of structural problems on inflation is relatively high and hampers price stability.

Keywords

• Inflation
• Expectations
• Exchange Rate
• Output Gap
• Generalized Methods of Moments

Türkiye İçin Açık Ekonomi Hibrit Yeni Keynesyen Phillips Eğrisi Tahmini

Abstract

Bu çalışma Türkiye'de 2002:01-2020:07 dönemi için aylık veri seti kullanarak enflasyon olgusunu incelemektedir. Analizimizde üretimin ithal ara malları ve girdilere olan bağımlılığının fiyatlara olan etkileri iki farklı kur serisi kullanılarak incelenmektedir. Bu sayede USD/TL kurundan kaynaklanan doğrudan etkiler ile reel efektif döviz kurundan kaynaklanan dolaylı etkiler ayrı ayrı ortaya konmaktadır. Bunu yaparken de döviz kurlarında iki ayrı eğilimin meydana geldiği alt dönemler karşılaştırılmaktadır. Sonuçlar, reel efektif döviz kurunun daha önemli bir etkiye sahip olduğunu göstermektedir. TL değer kaybettiğinde bu etki daha belirgin hale gelirken, TL'nin durağan olduğu durumlarda USD/TL kurunun daha belirleyici olduğu görülmektedir. Enflasyon üzerinde hem gecikmeli hem de beklenen etkilerin benzer büyüklük etkisine sahip olduğunu buluyoruz. Bu durum enflasyondaki ataleti ve beklentilerin önemini vurgulamaktadır. Döviz kuru yükseldiğinde geleceğe yönelik beklentilerin etkisi daha da artmaktadır. Modelde yurt içi çıktı açığının enflasyon üzerindeki beklenen teorik etkisi istatistiksel olarak önemsizdir. Tahmin edilen model sonuçlarına göre yapısal sorunların enflasyon üzerindeki etkisi görece yüksek olup, fiyat istikrarını engellemektedir.

Keywords

• Enflasyon
• Beklentiler
• Döviz Kuru
• Çıktı Açığı

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