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Karadeniz’i Çevreleyen Ülkelerde Enflasyon Direnci: ARFIMA Analizi

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

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.

References

  • Alagidede, P., Coleman, S., Adu, G. (2014). “A Regional Analysis of Inflation Dynamics in Ghana: Persistence, Causes and Policy Implications”, International Growth Centre, Working Paper, October.
  • Altınok, S., Şahin, A., Çetinkaya, M. (2009). “Frekans-Alanda Enflasyon Direnci Arastırması: Türkiye Örneği”, Kamu – İş, 10(4), 1-20.
  • Babetskii, I., Coricelli, F., Horváth, R. (2007). “Measuring and Explaining Inflation Persistence: Disaggregate Evidence on the Czech Republic”, Czech National Bank (CNB), Working Paper Series, No. 22.
  • Baillie, R.T. (1996), “Long Memory Processes and Fractional Integration in Econometrics”, Journal of Econometrics, 73, 5-59.
  • Balcılar, M. (2003). “Long Memory and Structural Breaks in Turkish Inflation Rates”, VI. Ulusal Ekonometri ve İstatistik Sempozyumu, Gazi Üniversitesi, Ankara, 1-13.
  • Balcilar, M., Gupta, R., Jooste, C. (2016). “Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov- switching fractional differencing parameter”, Journal of Developing Areas, Tennessee State University, College of Business, 50(1), 47- 57.
  • Banerjee, A. & Urga, G. (2005), “Modelling Structural Breaks, Long Memory and Stock Market Volatility: An Overview”, Journal of Econometrics, 129, 1-34.
  • Barkoulas, J.T. & Baum, C.F. (1998), “Fractional Dynamics in Japanese Financial Time Series”, Pacific-Basin Finance Journal, 6, 115-124.
  • Beechey, M., Österholm, P. (2007). “The Rise and Fall of U.S. Inflation Persistence”, Finance and Economics Discussion Series, Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C., 1-23.
  • Bhardwaj, G. & Swanson, N.R. (2006), “An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series”, Journal of Econometrics, 131, 539-578.
  • Choi, K. & Zivot, E. (2007), “Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation”, Journal of International Money and Finance, 26, 342-363.
  • Erlat, H. (2002). “Long Memory in Turkish Inflation Rates”, Inflation and Disinflation in Turkey, A. Kibritçioğlu, L. Rittenberg and F. Selçuk (Eds.), Hampshire: Ashgate Publishing Ltd., 97-122.
  • Franta, M., Saxa, B., Šmídková, K. (2007). “Inflation persistence Euro area and new EU Member States”, European Central Bank, Eurosystem Inflation Persistence Network, Working Paper Series, No 810.
  • Fuhrer, J., Moore, G. (1995). “Inflation Persistence”, The Quarterly Journal of Economics, 110(1), 127-159.
  • Gadzinski, G., Orlandi, F. (2004). “Inflation Persistence In The European Union, The Euro Area, and the United States”, European Central Bank, Eurosystem Inflation Persistence Network, Working Paper Series, No. 414.
  • Geweke, J. & Porter-Hudak, S. (1983), “The Estimation and Application of Long Memory Time Series Models”, Journal of Time Series Analysis, 4(4), 221-238.
  • Granger, C.W.J. (1980), “Long Memory Relationships and the Aggregation of Dynamic Models”, Journal of Econometrics, 14(2), 227-38.
  • Granger, C.W.J. & Joyeux, R. (1980), “An Introduction to Long- Memory Time Series Models and Fractional Differencing”, Journal of Time Series Analysis, 1, 15-39.
  • Granger, C.W.J. & Ding, Z. (1996), “Varieties of Long Memory Models”, Journal of Econometrics, 73, 61-77.
  • Hosking, J.R.M. (1981), “Fractional Differencing”, Biometrika, 68(1), 165-176.
  • Hurst, H.E. (1951), “Long-term storage capacity of reservoirs”, Transactions of the American Society of Civil Engineers, 116, 770–799.
  • Hurst, H.E. (1957), “A Suggested Statistical Model of Some Time Series that Occur in Nature”, Nature, 180, 494.
  • Kang, K. H., Kim, C., Morley, J. (2009). “Changes in U.S. Inflation Persistence”, Studies in Nonlinear Dynamics & Econometrics, 13(4), 1-21.
  • Kutlar, A., Turgut, T. (2006). “Türkiye’deki Başlıca Ekonomi Serilerinin ARFIMA Modelleri ile Tahmini ve Öngörülebilirliği”, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (11)1, 120-149.
  • Man, K.S. (2003), “Long Memory Time Series and Short Term Forecasts”, International Journal of Forecasting, 19, 477-491.
  • Mandelbrot, B.B. & Wallis, J. (1968), “N. Joseph and Operational Hydrology”, Water Resources Research, 4, 909-918.
  • Mandelbrot, B.B. (1972), “Statistical Methodology for Non Periodic Cycles: From the Covariance to R/S Analysis”, Annals of Economicand Social Measurement, 1, 259-290.
  • Martins, L. F., Rodrigues, P. M. M. (2014). “Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates”, Computational Statistics & Data Analysis, Vol. 76, 502-522.
  • McLeod, A.I. & Hipel, K.W. (1978), “Preservation of the Rescaled Adjusted Range, 1, A Reassessment of the Hurst Phenomenon”, Water Resources Research, 14, 14(3), 491-508.
  • Neely, C.J. & Rapach, D.E. (2008), “Real Interest Rate Persistence: Evidence and Implications”, Federal Reserve Bank of St. Louis Review, 90(6), 609-41.
  • Özçiçek, Ö. (2011). “Türkiye’de Sektörel Enflasyon Direnci”, Anadolu Üniversitesi Sosyal Bilimler Dergisi, 11(1), 57-68.
  • Palma, W. (2007), Long-Memory Time Series: Theory and Methods, Wiley Series in Probability and Statistics.
  • Pivetta, F., Reis, R. (2007). “The persistence of inflation in the United States”, Journal of Economic Dynamics & Control, 31, 1326-1358.
  • Pong, S.E., Shackleton, M.B. & Taylor, S.J. (2008). “Distinguishing Short and Long Memory Volatility Specifications”, The Econometrics Journal, 11(3), 617-637.
  • Rinke, S., Busch, M., Leschinski, C. (2017). “Long memory, breaks, and trends: On the sources of persistence in inflation rates”, Hannover Economic Papers (HEP), No. 584.

Inflation Persistence in Countries Surrounding the Black Sea: ARFIMA Analysis

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

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.

References

  • Alagidede, P., Coleman, S., Adu, G. (2014). “A Regional Analysis of Inflation Dynamics in Ghana: Persistence, Causes and Policy Implications”, International Growth Centre, Working Paper, October.
  • Altınok, S., Şahin, A., Çetinkaya, M. (2009). “Frekans-Alanda Enflasyon Direnci Arastırması: Türkiye Örneği”, Kamu – İş, 10(4), 1-20.
  • Babetskii, I., Coricelli, F., Horváth, R. (2007). “Measuring and Explaining Inflation Persistence: Disaggregate Evidence on the Czech Republic”, Czech National Bank (CNB), Working Paper Series, No. 22.
  • Baillie, R.T. (1996), “Long Memory Processes and Fractional Integration in Econometrics”, Journal of Econometrics, 73, 5-59.
  • Balcılar, M. (2003). “Long Memory and Structural Breaks in Turkish Inflation Rates”, VI. Ulusal Ekonometri ve İstatistik Sempozyumu, Gazi Üniversitesi, Ankara, 1-13.
  • Balcilar, M., Gupta, R., Jooste, C. (2016). “Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov- switching fractional differencing parameter”, Journal of Developing Areas, Tennessee State University, College of Business, 50(1), 47- 57.
  • Banerjee, A. & Urga, G. (2005), “Modelling Structural Breaks, Long Memory and Stock Market Volatility: An Overview”, Journal of Econometrics, 129, 1-34.
  • Barkoulas, J.T. & Baum, C.F. (1998), “Fractional Dynamics in Japanese Financial Time Series”, Pacific-Basin Finance Journal, 6, 115-124.
  • Beechey, M., Österholm, P. (2007). “The Rise and Fall of U.S. Inflation Persistence”, Finance and Economics Discussion Series, Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C., 1-23.
  • Bhardwaj, G. & Swanson, N.R. (2006), “An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series”, Journal of Econometrics, 131, 539-578.
  • Choi, K. & Zivot, E. (2007), “Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation”, Journal of International Money and Finance, 26, 342-363.
  • Erlat, H. (2002). “Long Memory in Turkish Inflation Rates”, Inflation and Disinflation in Turkey, A. Kibritçioğlu, L. Rittenberg and F. Selçuk (Eds.), Hampshire: Ashgate Publishing Ltd., 97-122.
  • Franta, M., Saxa, B., Šmídková, K. (2007). “Inflation persistence Euro area and new EU Member States”, European Central Bank, Eurosystem Inflation Persistence Network, Working Paper Series, No 810.
  • Fuhrer, J., Moore, G. (1995). “Inflation Persistence”, The Quarterly Journal of Economics, 110(1), 127-159.
  • Gadzinski, G., Orlandi, F. (2004). “Inflation Persistence In The European Union, The Euro Area, and the United States”, European Central Bank, Eurosystem Inflation Persistence Network, Working Paper Series, No. 414.
  • Geweke, J. & Porter-Hudak, S. (1983), “The Estimation and Application of Long Memory Time Series Models”, Journal of Time Series Analysis, 4(4), 221-238.
  • Granger, C.W.J. (1980), “Long Memory Relationships and the Aggregation of Dynamic Models”, Journal of Econometrics, 14(2), 227-38.
  • Granger, C.W.J. & Joyeux, R. (1980), “An Introduction to Long- Memory Time Series Models and Fractional Differencing”, Journal of Time Series Analysis, 1, 15-39.
  • Granger, C.W.J. & Ding, Z. (1996), “Varieties of Long Memory Models”, Journal of Econometrics, 73, 61-77.
  • Hosking, J.R.M. (1981), “Fractional Differencing”, Biometrika, 68(1), 165-176.
  • Hurst, H.E. (1951), “Long-term storage capacity of reservoirs”, Transactions of the American Society of Civil Engineers, 116, 770–799.
  • Hurst, H.E. (1957), “A Suggested Statistical Model of Some Time Series that Occur in Nature”, Nature, 180, 494.
  • Kang, K. H., Kim, C., Morley, J. (2009). “Changes in U.S. Inflation Persistence”, Studies in Nonlinear Dynamics & Econometrics, 13(4), 1-21.
  • Kutlar, A., Turgut, T. (2006). “Türkiye’deki Başlıca Ekonomi Serilerinin ARFIMA Modelleri ile Tahmini ve Öngörülebilirliği”, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (11)1, 120-149.
  • Man, K.S. (2003), “Long Memory Time Series and Short Term Forecasts”, International Journal of Forecasting, 19, 477-491.
  • Mandelbrot, B.B. & Wallis, J. (1968), “N. Joseph and Operational Hydrology”, Water Resources Research, 4, 909-918.
  • Mandelbrot, B.B. (1972), “Statistical Methodology for Non Periodic Cycles: From the Covariance to R/S Analysis”, Annals of Economicand Social Measurement, 1, 259-290.
  • Martins, L. F., Rodrigues, P. M. M. (2014). “Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates”, Computational Statistics & Data Analysis, Vol. 76, 502-522.
  • McLeod, A.I. & Hipel, K.W. (1978), “Preservation of the Rescaled Adjusted Range, 1, A Reassessment of the Hurst Phenomenon”, Water Resources Research, 14, 14(3), 491-508.
  • Neely, C.J. & Rapach, D.E. (2008), “Real Interest Rate Persistence: Evidence and Implications”, Federal Reserve Bank of St. Louis Review, 90(6), 609-41.
  • Özçiçek, Ö. (2011). “Türkiye’de Sektörel Enflasyon Direnci”, Anadolu Üniversitesi Sosyal Bilimler Dergisi, 11(1), 57-68.
  • Palma, W. (2007), Long-Memory Time Series: Theory and Methods, Wiley Series in Probability and Statistics.
  • Pivetta, F., Reis, R. (2007). “The persistence of inflation in the United States”, Journal of Economic Dynamics & Control, 31, 1326-1358.
  • Pong, S.E., Shackleton, M.B. & Taylor, S.J. (2008). “Distinguishing Short and Long Memory Volatility Specifications”, The Econometrics Journal, 11(3), 617-637.
  • Rinke, S., Busch, M., Leschinski, C. (2017). “Long memory, breaks, and trends: On the sources of persistence in inflation rates”, Hannover Economic Papers (HEP), No. 584.
There are 35 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Sinem Kutlu This is me

İpek Melahat Yurttagüler This is me

Publication Date January 1, 2020
Published in Issue Year 2020 Issue: 21

Cite

APA Kutlu, S., & Yurttagüler, İ. M. (2020). Karadeniz’i Çevreleyen Ülkelerde Enflasyon Direnci: ARFIMA Analizi. Iğdır Üniversitesi Sosyal Bilimler Dergisi(21), 393-412.