Karadeniz’i Çevreleyen Ülkelerde Enflasyon Direnci: ARFIMA Analizi

Year 2020, Issue: 21, 393 - 412, 01.01.2020

Sinem Kutlu İpek Melahat Yurttagüler

Abstract

Fiyat istikrarının temel bir unsuru olan enflasyon makro iktisadi çalışmalar açısından önemli bir araştırma alanıdır. Yeni Keynesyen iktisadın teorik katkılarıyla ortaya çıkan enflasyon direnci kavramı enflasyonun kararlı bir düzeyde kalmasından ziyade, iktisadi bir şoka tepki olarak yaşanan sapmaların ardından enflasyon oranının uzun dönem denge değerine ne kadar sürede yakınsadığını ifade etmektedir. Bu bağlamda kavram, yaşanan iktisadi şokların kalıcı olup olmadığı hakkında da bilgi sağlamaktadır. Çalışmamızın amacı, enflasyon direncinin uzun hafıza modeli ile ampirik olarak incelenmesidir. Bu çerçevede, Karadeniz’i çevreleyen 6 ülke örneğinde 2006:01 - 2018:03 dönemleri arasındaki veriler kullanılarak enflasyon serisine ilişkin bütünleşme derecesi ve serinin uzun hafızaya sahip olup olmadığı yarı parametrik bir yöntem olan GPH yöntemi kullanılarak test edilmektedir. Elde edilen bulgular, söz konusu ülkelerde enflasyon oranlarının uzun hafızaya sahip oldukları sonucuna işaret etmektedir. Bu bağlamda, söz konusu ülkelerde enflasyon serilerinin oldukça dirençli bir yapıda olduğu sonucuna varılmaktadır.

Keywords

Enflasyon direnci, ARFIMA, uzun hafıza, Karadeniz, makro iktisat.

Inflation Persistence in Countries Surrounding the Black Sea: ARFIMA Analysis

Abstract

Inflation, which is an essential element of price stability, is an important research area in terms of macroeconomic studies. The concept of inflation persistence, which emerged as a result of the theoretical contributions of the New Keynesian economics, refers to how long it takes for the inflation rate to converge to the long-run equilibrium value after deviations in response to an economic shock, rather than maintaining inflation at a stable level. In this context, the concept also provides information about whether the economic shocks are permanent or not. Our study aims to empirically analyze the inflation persistence with a long memory model. In this context, by using the data between the periods 2006: 01 - 2018: 03 for the 6 countries surrounding the Black Sea, the degree of integration in the inflation series and whether these series have long memory properties or not are tested by using a semi-parametric GPH method. The findings indicate that inflation rates in these countries have long memory properties. In this context, it is concluded that the inflation series in these countries are highly persistent.

Keywords

Inflation persistence, ARFIMA, long memory, Black Sea, macro economy.

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