Kırılgan Beşli Ülkelerde Tüketici ve Üretici Fiyatları Arasındaki Aktarım Mekanizması: Eşik Eşbütünleşme ve Hata Düzeltme

Year 2023, Volume: 41 Issue: 2, 251 - 270, 15.06.2023

Nilcan Mert

https://doi.org/10.17065/huniibf.1137805

Cited By: 2

Abstract

Bu çalışmada tüketici ve üretici fiyatlar arasındaki akaktarım mekanizması, asimetrik modeller çerçevesinde ve kırılgan beşli ülkeler kapsamında incelenmiştir. Çalışmada 2010:M1-2021:M8 dönemi dikkate alınarak TAR ve M-TAR eşbütünleşme ve hata düzeltme modelleri kullanılmıştır. Analiz sonuçları Brezilya ve Hindistan için TÜFE ile ÜFE arasında asimetrik bir ilişki olmadığını gösterirken, Güney Afrika, Endonezya ve Türkiye için uzun dönemli asimetrik bir ilişkiye işaret etmiştir. Asimetrik hata düzeltme tahmin sonuçlarına göre Endonezya, Güney Afrika ve Türkiye için uzun dönemli asimetrik nedensellik ilişkisi bulunmazken, kısa dönemde nedensellik ilişkisi tespit edilmiştir. Kırılgan beşli ülkelere ilişkin fiyat endeksleri arasındaki aktarım mekanizmasının farklı işlemesi, ülkelerin iç dinamiklerinin farklılığını ortaya koymaktadır.

Keywords

Enflasyon, Tüketici fiyatları, Üretici fiyatları, Eşik eşbütünleşme, eşik hata düzeltme

TRANSMISSION MECHANISM BETWEEN CONSUMER AND PRODUCER PRICES IN FRAGİLE FIVE COUNTRIES: THRESHOLD COINTEGRATION AND ERROR CORRECTION

Abstract

This study focuses on examining the interrelationship between consumer and producer prices within the framework of the fragile five within the scope of asymmetric models. Considering the 2010:M1-2021:M8 period, TAR and M-TAR cointegration and error correction models were used in the study. The results of the analysis indicated that there was no asymmetrical relationship between CPI and PPI for Brazil and India, while it pointed to an asymmetric long-term relationship for South Africa, Indonesia, and Turkey. According to the asymmetric error correction estimation results, while no long-term asymmetric causality relationship could be found for Indonesia, South Africa and Turkey, it was determined for the short-term. According to this, there is a causal relationship from PPI to CPI for Indonesia, from CPI to PPI for South Africa, and bidirectional causality for Turkey. The differences in the transmission mechanism between the price indices of the fragile five countries reveal the differences in the internal dynamics of the countries.

Keywords

Inflation, producer prices, Consumer prices, Threshold cointegration, Threshold error correction.

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