THE RATIONALITY OF INFLATION EXPECTATIONS IN TURKEY AND ITS EFFECT ON THE FUNCTIONING OF EXPECTATIONS CHANNEL

Year 2023, Volume: 1 Issue: 1, 6 - 29, 23.03.2023

Yeşim Gürbüz

Abstract

Since the global financial crisis of 2008, the Central Bank of the Republic of Turkey has been using macroprudential monetary policies whose objectives are price stability and financial stability. The Central Bank can affect the real sector and achieve its objectives through the transmission mechanism. The expectations according to which agents determine their economic behavior play an important role in this mechanism. If these expectations are not rational, the expectations channel of the transmission mechanism cannot function efficiently. In this work, the aim is to find out if the inflation expectations of Turkish agents are rational within the framework of macroprudential policies; which in turn allows a good functioning of the channel of expectations. With this perspective, several empirical analysis have been conducted for the period January 2010-October 2022, using inflation expectations errors calculated from surveys conducted by the Central Bank. The run test, Wald test, Portmanteau test and unit root tests showed that consumer price inflation expectations for the current month, next 12 and 24 months and expectations for producer price inflation for the next 12 months are not rational because they are biased, auto correlated and systematic hence the effective functioning of the expectations channel is queried.

Keywords

: Inflation expectations, Macroprudential monetary policy, Transmission mechanism.

La Rationalité des Anticipations d'Inflation en Turquie et son Effet sur le Fonctionnement du Canal des Anticipations

Abstract

Depuis la crise financière globale de 2008, la Banque Centrale de République de Turquie mène la politique monétaire macro prudentielle dont les objectifs sont la stabilité des prix et la stabilité financière. La Banque Centrale peut affecter le secteur réel et atteindre ses objectifs via le mécanisme de transmission. Les anticipations en fonction desquelles les agents décident de leur comportement économique jouent un rôle important dans ce mécanisme. Si ces anticipations ne sont pas rationnelles, le canal des anticipations du mécanisme de transmission de la politique macro prudentielle ne peut pas fonctionner de façon efficace. Dans ce travail, on a essayé de voir si les anticipations d’inflation des agents turcs sont rationnels dans le cadre de la politique macro prudentielle et permettent un bon fonctionnement de ce canal des anticipations. Différentes analyses empiriques ont été effectuées à partir des erreurs d’anticipation d’inflation obtenue des enquêtes meneés par la Banque Centrale. Le test de séquences, le test de Wald, le test de Portmanteau et les tests de racine unitaire ont montré que les anticipations d’inflation des prix à la consommation pour le mois courant, pour les 12 et 24 mois prochains et les anticipations d’inflation des prix à la production pour les 12 mois prochains ne sont pas rationnelles car elles sont biaisées, autocorrélées et systématiques d’où le fonctionnement efficace du canal des anticipations est mis en question.

Keywords

Anticipations d’inflation, Politique monétaire macro prudentielle, Mécanisme de transmission., : Inflation expectations, Macroprudential monetary policy, Transmission mechanism.

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