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Gerçekleşen Enflasyon ve Enflasyon Beklentileri Arasındaki İlişki: Türkiye Üzerine Bir Uygulama

Year 2020, Volume: 11 Issue: Ek, 147 - 157, 31.12.2020

Abstract

Enflasyonla mücadele önemli makroekonomik politika hedeflerinden biridir. Kalıcı ve istikrarlı düşük enflasyon oranlarına ulaşabilmek için enflasyon beklentilerinin düşürülmesi önem taşımaktadır. Enflasyon beklentilerinin çapalanması dezenflasyon politikasının önemli araçlarından birini oluşturmaktadır. Enflasyonun önemli bir ekonomik problem olduğu Türkiye ekonomisi için enflasyonla mücadelede, gerçekleşen enflasyon ve enflasyon beklentileri arasındaki ilişkinin araştırılması önemlidir. Bu amaçla, bu çalışmada 2005:01-2020:09 dönemimde aylık veriler kullanılarak gerçekleşen enflasyon ve enflasyon beklentileri arasındaki ilişki araştırılmaktadır. İlk olarak Engle-Granger eş bütünleşme testi uygulanmıştır. Değişkenler arasında eş bütünleşme ilişkisi olduğu tespit edilmiştir. Daha sonra Toda-Yamamoto nedensellik ve Hatemi-J asimetrik nedensellik testleri uygulanmıştır. Toda-Yamamoto nedensellik testi sonuçları gerçekleşen enflasyon ile enflasyon beklentileri arasına iki yönlü bir nedensellik ilişkisi olduğu tespit edilmiştir. Asimetrik nedensellik testi, enflasyon beklentilerindeki pozitif şokların gerçekleşen enflasyonda pozitif şoklara neden olduğunu, enflasyon beklentilerindeki negatif şokların gerçekleşen enflasyonda negatif şoklara neden olduğunu ve gerçekleşen enflasyondaki pozitif şokların enflasyon beklentilerinde pozitif şoklara neden olduğunu göstermektedir. Elde edilen bu bulgulara göre, gerçekleşen enflasyon ve enflasyon beklentilerindeki artış birbirlerini beslemektedir. Enflasyon beklentilerindeki azalış ise, enflasyonda düşüşe neden olmaktadır. Enflasyonda kalıcı olarak düşüşün sağlanması ve hedeflerin tutturulması için para politikası güvenilirliğinin sağlanarak enflasyon beklentilerinin düşürülmesinin önemli olduğu sonucuna ulaşılmaktadır.

References

  • Balkan, B. (2019). Searching for the credibility of monetary policy in Turkey: Evidence from structural VAR analysis. Journal of Economics and Political Economy, 6(1), 78-93.
  • Başkaya, Y., Gülşen, E., & Kara, H. (2012). Inflation Expectations and Central Bank Communication in Turkey. Central Bank Review, 12, 1-10.
  • Carrasco, C. A., & Ferreiro, J. (2013). Inflation Targeting and Inflation Expectations in Mexico. Applied Economics, 45, 3295–3304.
  • Chen, Y. (2008). Research on New Keynesian Phillips Curve in China. Economic Research Journal, 12, 50–64.
  • Çiçek, S., Akar, C. ve Yücel, E. (2011). Türkiye’de enflasyon beklentilerinin çapalanması ve güvenilirlik. İktisat İşletme ve Finans, 26(304), 37-55.
  • Çiçek, S., & Akar, C. (2014). Do Inflation Expectations Converge Toward Inflation Target Or Actual Inflation? Evidence From Expectation Gap Persistence. Central Bank Review, 14, 15-21
  • Çiçek, S. ve Alkan, B. (2019). Enflasyon ve Beklenen Enflasyon Belirsizlikleri Üzerinden Türkiye’de Para Politikasının Değerlendirmesi. Bankacılar Dergisi, 109, 82-100.
  • Demiralp, S., & Demiralp, S. (2018): Erosion of Central Bank independence in Turkey. Turkish Studies, 20(1), 49-68.
  • Dickey, D., & Fuller, W.A. (1979). Distributions of the estimators for autoregressive time series with a unit root. The American Statistical Association, 74, 423-431.
  • Engle, R. F., & Granger, C. W. (1987). Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276.
  • Gürkaynak, R., Levin, A., & Swanson, E. (2010). Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from the U.S., UK, and Sweden. Journal of the European Economic Association, 8(6), 1208–1242.
  • Gürkaynak, R. S., Kantur, Z, Taş, M. A., & Yıldırım, S. (2015). Monetary Policy in Turkey after Central Bank Independence. Cesifo Working Paper, No. 5582, Category 7: Monetary Policy And International Finance.
  • Hatemi-J, A. (2012). Asymmetric Causality Tests with an Application. Empirical Economics, 43(1), 447-456.
  • Hubert, P., & Mirza, H. (2014). Inflation Expectation Dynamics: The Role of Past, Present and Forward Looking Information. Observatoire Francais des Conjonctures Economiques (OFCE), No. 2014-07. Paris: OFCE.
  • Kim, J. I., & Lee., J. (2013). How Important are Inflation Expectations in Driving Asian Inflation? BIS Papers Chapters 70, 41–63.
  • Leduc, S., Sill, K., & Stark, T. (2007). Self-Fulfilling Expectations and the Inflation of the 1970s: Evidence from the Livingston Survey. Journal of Monetary Economics, 54, 433–459.
  • Mishkin, F. S. (2007). Will Monetary Policy Become More of a Science? NBER Working Paper, No: 13566.
  • Phillips, P. C., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
  • Su, Z. (2010). Inflation Uncertainty in China: Structural Uncertainty or Impulse Uncertainty? The Journal of Quantitative & Technical Economics, 12, 80–90.
  • TCMB. (2020a). Enflasyon Raporu 2020–III, Ankara.
  • TCMB. (2020b). Enflasyon Raporu 2020–IV, Ankara.
  • Toda, H.Y., & Yamamoto, T. (1995), Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66(1), 225-250.
  • Xu, Y. Liu, Z.X., Chang, H.L., Peculea, A.D, & Su, C.W. (2017). Does self-fulfilment of the inflation expectation exist? Applied Economics, 49(11), 1098-1113.
  • Xu, Y., Liu, Z., & Ortiz, J. (2018). Actual and Expected Inflation in the U.S.: A Time-Frequency View. Romanian Journal of Economic Forecasting, XXI(1), 42-62
  • Ueda, K. (2010). Determinants of Households’ Inflation Expectations in Japan and the United States. Journal of the Japanese and International Economies, 24, 503–518.

The Relationship Between Actual Inflation and Inflation Expectations: An Application on Turkey

Year 2020, Volume: 11 Issue: Ek, 147 - 157, 31.12.2020

Abstract

Combating inflation is one of the most important macroeconomic policy goals. Lowering inflation expectations is important to achieve permanent and stable low inflation rates. Anchoring inflation expectations constitutes one of the most relevant tools of disinflation policy. It is important to investigate between actual and expected inflation for fighting against inflation in the Turkish economy where inflation is one of the most important economic issues. For this purpose, this study investigates the relationship between actual inflation and inflation expectations by using monthly data in the period 2005:01-2020:09. First, Engle-Granger cointegration test was employed. It has been determined that there is a cointegration relationship between the variables. Then, Toda-Yamamoto causality and Hatemi-J asymmetric causality tests were employed. The Toda-Yamamoto causality test results revealed that there is a bidirectional causality relationship between the actual inflation and inflation expectations. Asymmetric causality test shows that positive shocks in inflation expectations cause positive shocks in actual inflation, negative shocks in inflation expectations cause negative shocks in actual inflation, and positive shocks in actual inflation cause positive shocks in inflation expectations. According to these findings, increases in the actual inflation and the inflation expectations feed each other. The decline in inflation expectations causes a fall in actual inflation. It is concluded that it is important to reduce inflation expectations by ensuring monetary policy credibility to achieve a permanent decrease in inflation and to reach the targets.

References

  • Balkan, B. (2019). Searching for the credibility of monetary policy in Turkey: Evidence from structural VAR analysis. Journal of Economics and Political Economy, 6(1), 78-93.
  • Başkaya, Y., Gülşen, E., & Kara, H. (2012). Inflation Expectations and Central Bank Communication in Turkey. Central Bank Review, 12, 1-10.
  • Carrasco, C. A., & Ferreiro, J. (2013). Inflation Targeting and Inflation Expectations in Mexico. Applied Economics, 45, 3295–3304.
  • Chen, Y. (2008). Research on New Keynesian Phillips Curve in China. Economic Research Journal, 12, 50–64.
  • Çiçek, S., Akar, C. ve Yücel, E. (2011). Türkiye’de enflasyon beklentilerinin çapalanması ve güvenilirlik. İktisat İşletme ve Finans, 26(304), 37-55.
  • Çiçek, S., & Akar, C. (2014). Do Inflation Expectations Converge Toward Inflation Target Or Actual Inflation? Evidence From Expectation Gap Persistence. Central Bank Review, 14, 15-21
  • Çiçek, S. ve Alkan, B. (2019). Enflasyon ve Beklenen Enflasyon Belirsizlikleri Üzerinden Türkiye’de Para Politikasının Değerlendirmesi. Bankacılar Dergisi, 109, 82-100.
  • Demiralp, S., & Demiralp, S. (2018): Erosion of Central Bank independence in Turkey. Turkish Studies, 20(1), 49-68.
  • Dickey, D., & Fuller, W.A. (1979). Distributions of the estimators for autoregressive time series with a unit root. The American Statistical Association, 74, 423-431.
  • Engle, R. F., & Granger, C. W. (1987). Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276.
  • Gürkaynak, R., Levin, A., & Swanson, E. (2010). Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from the U.S., UK, and Sweden. Journal of the European Economic Association, 8(6), 1208–1242.
  • Gürkaynak, R. S., Kantur, Z, Taş, M. A., & Yıldırım, S. (2015). Monetary Policy in Turkey after Central Bank Independence. Cesifo Working Paper, No. 5582, Category 7: Monetary Policy And International Finance.
  • Hatemi-J, A. (2012). Asymmetric Causality Tests with an Application. Empirical Economics, 43(1), 447-456.
  • Hubert, P., & Mirza, H. (2014). Inflation Expectation Dynamics: The Role of Past, Present and Forward Looking Information. Observatoire Francais des Conjonctures Economiques (OFCE), No. 2014-07. Paris: OFCE.
  • Kim, J. I., & Lee., J. (2013). How Important are Inflation Expectations in Driving Asian Inflation? BIS Papers Chapters 70, 41–63.
  • Leduc, S., Sill, K., & Stark, T. (2007). Self-Fulfilling Expectations and the Inflation of the 1970s: Evidence from the Livingston Survey. Journal of Monetary Economics, 54, 433–459.
  • Mishkin, F. S. (2007). Will Monetary Policy Become More of a Science? NBER Working Paper, No: 13566.
  • Phillips, P. C., & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
  • Su, Z. (2010). Inflation Uncertainty in China: Structural Uncertainty or Impulse Uncertainty? The Journal of Quantitative & Technical Economics, 12, 80–90.
  • TCMB. (2020a). Enflasyon Raporu 2020–III, Ankara.
  • TCMB. (2020b). Enflasyon Raporu 2020–IV, Ankara.
  • Toda, H.Y., & Yamamoto, T. (1995), Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66(1), 225-250.
  • Xu, Y. Liu, Z.X., Chang, H.L., Peculea, A.D, & Su, C.W. (2017). Does self-fulfilment of the inflation expectation exist? Applied Economics, 49(11), 1098-1113.
  • Xu, Y., Liu, Z., & Ortiz, J. (2018). Actual and Expected Inflation in the U.S.: A Time-Frequency View. Romanian Journal of Economic Forecasting, XXI(1), 42-62
  • Ueda, K. (2010). Determinants of Households’ Inflation Expectations in Japan and the United States. Journal of the Japanese and International Economies, 24, 503–518.
There are 25 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Serdar Göcen 0000-0002-5742-191X

Publication Date December 31, 2020
Submission Date December 7, 2020
Published in Issue Year 2020 Volume: 11 Issue: Ek

Cite

APA Göcen, S. (2020). Gerçekleşen Enflasyon ve Enflasyon Beklentileri Arasındaki İlişki: Türkiye Üzerine Bir Uygulama. Gümüşhane Üniversitesi Sosyal Bilimler Dergisi, 11(Ek), 147-157. https://doi.org/10.36362/gumus.836923