ASYMMETRIC EFFECTS OF INFLATION UNCERTAINTY ON INFLATION AND ECONOMIC GROWTH: THE CASE OF TURKEY
Year 2024,
Volume: 20 Issue: ICMEB'24 Özel Sayı, 308 - 320, 30.10.2024
Aycan Can
,
Asuman Koç Yurtkur
Abstract
In this study aims to contribute to the literature by investigating the impact of inflation and inflation
uncertainty on growth in Turkey. For this purpose, the study uses Consumer Price Index (CPI) data to represent
inflation and Industrial Production Index (IPI) data to represent economic growth. The data set used is monthly
frequency and covers the period between 2005:4 and 2019:1 and VARMA-MGARCH-BEKK model is used in the
analysis. In the light of the results of the analysis, it is determined that inflation uncertainty leads to higher inflation
in the Turkish economy and the Cukierman-Melzer hypothesis in the literature is also supported. In addition, the
results on the effect of inflation uncertainty on economic growth show that it is positive and statistically significant
at the 1% level in Turkey. Therefore, this result also supports Black's hypothesis in the literature that inflation
uncertainty has a positive effect on economic growth.
References
- Abbott, A., & De Vita, G. (2011). Revisiting the relationship between inflation and growth: A note on the role of
exchange rate regimes. Economic Issues, 16(1), 37.
- Ajevskis, V. (2007), Inflation and inflation uncertainty in Latvia. Bank of Latvia, Working Paper No. 4/2007
- Akgül, I., & Özdemir, S. (2012). Enflasyon eşiği ve ekonomik büyümeye etkisi. İktisat İşletme ve Finans, 27(313),
85-106.
- Akın, A. (2022). Türkiye’de enflasyon ve enflasyon belirsizliğinin iktisadi büyüme üzerine asimetrik etkileri: Eşik
değer analizi. (Yayımlanmamış Yüksek Lisans Tezi). Tekirdağ Namık Kemal Üniversitesi Sosyal Bilimler
Enstitüsü. Tekirdağ.
- Ananzeh, I. E. N. (2015). The relationship between inflation and its uncertainty: Evidence from
Jordan. International Journal of Economics and Financial Issues, 5(4), 929-932.
- Apergis, N. (2004). Inflation output growth,volatility and causality: Evidence from panel data and the G7
counrtries. Economics Letters, 83 (2), 185-191.
- Aydin, C., Esen, Ö., & Bayrak, M. (2016). Inflation and economic growth: A dynamic panel threshold analysis
for Turkish Republics in transition process. Procedia Social and Behavioral Sciences, 229, 196-205.
- Azam, M., & Khan, S. (2022). Threshold effects in the relationship between ınflation and economic growth:
Further empirical evidence from the developed and developing world. International Journal of Finance &
Economics. 27(4), 4224-4243.
- Ball, L. (1992). Why does high inflation raise inflation. Journal of Monetary Economics, 29(3), 23-44.
Berument, H., Yalcin Y., & Yıldırım J. (2011). The inflation and inflation uncertainty relationship for Turkey: A
dynamic framework. Emprical Economics, 41(2), 294-295.
- Black, F. (1987). Business cycles and equilibrium. Newyork: Basil Blackwell.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal Of Economics, 31(1),
307-327.
- Bollerslev, T. (1987). A conditional heteroskedastic time series model for speculative prices and rates of return.
Review of Economics and Statistics, 69(1), 542-547.
- Bozkurt, H. (2009). M-garch modellerinin karşılaştırmalı analizi. Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü
Dergisi, 18(2), 126-145.
- Caporale, B., & Caporale, T. (2002). Asymmetric effects of inflation shocks on inflation uncertainty. Atlantic
Economic Journal, 30(4), 385-388.
- Collins, L., & L, Schafer (2001). A comparison of inclusive and restrictive strategies in modern missing data
produres. Psychological Methods, 6(4), 217- 330.
- Crawford, A., & Kasumovich, M. (1996). Does inflation uncertainty vary with the level of inflation?. Available at
SSRN 75354.
- Cukierman, A., & Meltzer, A. (1986). A Theory of ambiguity, credibility and inflation under discretion and
asymetric information, Econometrica, 54(5), 1099-1128.
- Çiğdem, Y. (2013). Enflasyon-enflasyon belirsizliği ve merkez bankası bağımsızlığı ilişkisi. (Yayımlanmamış
Yüksek Lisans Tezi). Tokat Gaziosmanpaşa Üniversitesi Sosyal Bilimler Enstitüsü. Tokat.
- Dinçsoy, E. E., & Dinçsoy, M. O. (2020). Ekonomik büyümenin enflasyon üzerine etkisinin Türkiye ekonomisi
açısından analizi. Balkan and Near Eastern Journal of Social Sciences, 6, 118-124.
- Dotsey, M., & Sarte, P. D. (2000). Inflation uncertainty and growth in a cash-in-advance economy. Journal of
Monetary Economics, 45(3), 631-655.
- Elder, J. (2004). Oil price uncertainty, journal of money. Credit and Banking, 42(6), 10-18.
- Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United
Kingdom inflation. Econometrica, 50(1), 987-1007.
- Engle, R. F. (1983). Estimates of the variance of U.S. inflation based upon the arch model, Journal of Money,
Credit and Banking, 15(1), 286-301.
- Engle, R. F. (1995). Arch selected readings. Oxford University Press, Oxford.
- Erkam, S. (2008). Enflasyon ve enflasyon belirsizliği: Türkiye örneği, Sosyo Ekonomi, 4(7), 157-174.
- Esen, O., Aydin, C. & Aydin, R. (2016). Inflation threshold effect on economic growth in Turkey. Journal of
Advanced Research in Law and Economics, 8(22), 1983 – 1993.
- Evans, M. (1991). Discovering the link between inflation rates and inflation uncertainty. Journal of Money, Credit
and Banking, 23(2), 169-184.
- Feldstein, M. (1983). Domestic saving and ınternational capital movements in the long run and the short run.
European Economic Review, 21(1-2), 129-151.
- Fountas, S. (2001), The relationship between inflation and inflation uncertainty in the UK: 1885-1998. Economics
Letters, 74, 77-83
- Friedman, M. (1977). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85(3), 451-472.
- Göktaş, P., & Dişbudak, C. (2014). Modelling inflation uncertainty with structural breaks case of Turkey 1994–
2013. Mathematical Problems in Engineering, 2014.
- Grier, K., & Perry, M. J. (2000). The effects of real and nominal uncertainty on inflation and output growth: Some
garch-m evidence. Journal of Applied Econometrics, 15(1), 45-58.
- Grier, K., & Tullock, G. (1989). An empirical analysis of cross-national economic growth:1951-1980. Journal of
Monetary Economics, 24(1), 259-276.
- Grier, K., Olekalns H., & Shields, K. (2004). The asymmetric effects of uncertainty on inflation and output growth,
Journal of Applied Econometrics, 19(1), 551-565.
- Güzel, B. (2014). Tüketici fiyat endeksi ve üretici fiyat endeksi geçişkenliği: Türkiye örneği. (Yayımlanmamış
Yüksek Lisans Tezi). Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü, Trabzon.
- Hasanov, M. (2008). Enflasyon belirsizliğinin üretim üzerindeki etkileri: Türkiye örneği. Doğuş Üniversitesi
Dergisi, 9(2), 191-206.
- Holland, S. (1995). Inflation and uncertainty: Test for temporal ordering, journal of money. Credit and Banking,
25(4), 827-837.
- Hwang, Y. (2001). Relationship between inflation rate and inflation uncertainty. Economics Letters, 73, 179-186.
- Iyke B. N., & Ho, S. (2019). Inflation, inflation uncertainty, and growth: evidence from Ghana contemporary.
Economics. 13(2), 126-143.
- Javed, S. A., Khan, S. A., Haider, A., & Shaheen, F. (2012). Inflation and inflation uncertainty nexus: Empirical
evidence from Pakistan. International Journal of Economics and Financial Issues, 2(3), 348-356.
- Judson, R., & Orphanides, A. (1999). Inflation, volatility and growth. International Finance, 2(1), 117-138.
- Kara, H., & Orak, M. (2008). Enflasyon Hedeflemesi.
https://www.researchgate.net/publication/269398684_Enflasyon_Hedeflemesı sayfasından erişilmiştir.
Erişim Tarihi: 01.10.2008.
- Khan, M. (2016). Evidence on the functional form of inflation and output growth variability relationship in
European economies. International Economics, 146, 1-11.
- Koray, F. (1993). Inflation variability the Turkish economy. Journal Applied Economics, 25(6), 787- 793.
- Kusumatrisna, AL., Sugema, I. & Pasaribu, SH. (2022). Threshold effect in the relationship between inflation rate
and economic growth in Indonesia. Bull Monetary Econ Bank, 25, 117–132.
https://doi.org/10.21098/bemp.v25i1.1045.
- Lindley, D. (2006). Understanding uncertainty. UK: Wiley.
- López-Villavicencio, A., & Mignon, V. (2011). On the impact of inflation on output growth: Does the level of
inflation matter?. Journal of Macroeconomics, 33(3), 455-464.
- Mahdi, S., & Masood, S. (2011). The long run relationship between interest rates and inflation in Iran: Revisiting
fisher’s hypothesis. Journal of Economics and International Finance, 3(14), 705-712.
- Nas, T., & Perry, M. J. (2000). Inflation, inflation uncertainty and monetary policy in Turkey: 1960:1998.
Contemporary Economic Policy,18(2), 170-171.
- Ndoricmpa, A. (2014). The effects of uncertainty on inflation and output growth in four african oil-rich countries:
Evidence from an asymmetric multivariate garch-m model. American Journal of Economics, 4(4), 172-
173.
- Neyapti, B., & Kaya, N. (2001). Inflation and inflation uncertainty in Turkey: Evidence from the past two decades.
Yapı Kredi Economic Review, 12(2), 21-25.
- Okun, A. (1971). The mirage of steady ınflation. Econpapers, 2(2), 485-498.
- Oltulular, S., & Terzi, H. (2006). Yüksek enflasyon enflasyon belirsizliğini artırıyor mu?. İstanbul Üniversitesi
Ekonometri ve İstatistik Dergisi, 3, 12-11.
- Özdemir, Z. A., & Fisünoğlu, M. (2008). On the inflation-uncertainty hypothesis in Jordon, Phillipines and
Turkey: A long memory approach. International Review of Economics and Finance, 17(1), 9-11.
- Phiri, A. (2020). Endogenous monetary approach to optimal inflation–growth nexus in Swaziland. African Journal
of Economic and Management Studies, 11(4), 559-571.
- Pourgerami, A., & Maskus, K. (1987). The effects of inflation on the predictability of price changes in Latin
America: Some estimates and policy implications. World Development, 15(2), 287-290.
- Ramey, G., & Ramey, V. (1995). Cross-country evidence on the link between volatility and growth. American
Economic Review, 85(5), 1138-1150.
- Rizvi, K.A., & Naqvi, B. (2009). Inflation volatility: An asian perspective. University library of Munich. Germany:
MPRA.
- Salisu, A. A., & Oloko, T. F. (2015). Modeling oil price-US-stock nexus: A varma-bekk-agarch approach. Energy
Economics, 50(1), 1-12.
- Sekman, Y. (2007). Türkiye’de enflasyon ve enflasyon belirsizliğinin nedensellik analizi. (Yayımlanmamış Yüksek
Lisans Tezi). Marmara Üniversitesi Sosyal Bilimler Enstitüsü. İstanbul.
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ENFLASYON BELİRSİZLİĞİNİN ENFLASYON VE EKONOMİK BÜYÜME ÜZERİNDEKİ ASİMETRİK ETKİLERİ: TÜRKİYE ÖRNEĞİ
Year 2024,
Volume: 20 Issue: ICMEB'24 Özel Sayı, 308 - 320, 30.10.2024
Aycan Can
,
Asuman Koç Yurtkur
Abstract
Bu çalışma, Türkiye'de enflasyon ve enflasyon belirsizliğinin büyüme üzerindeki etkisini araştırarak
literatüre katkı sağlamayı amaçlamaktadır. Bu amaçla çalışmada enflasyonu temsil etmek için Tüketici Fiyatları
Endeksi (TÜFE) verileri, ekonomik büyümeyi temsil etmek için ise Sanayi Üretim Endeksi (SÜE) verileri
kullanılmıştır. Kullanılan veri seti aylık frekansta olup 2005:4 ile 2019:1 dönem aralığını kapsayarak analizde
VARMA-MGARCH-BEKK modeli kullanılmıştır. Analiz sonuçları ışığında enflasyon belirsizliğinin Türkiye
ekonomisinde daha yüksek enflasyona yol açtığı tespit edilerek literatürde yer alan Cukierman-Melzer hipotezi de
desteklenmektedir. Ayrıca enflasyon belirsizliğinin ekonomik büyüme üzerindeki etkisine ilişkin sonuçlara
bakıldığında ise bu durumun Türkiye'de pozitif ve istatistiksel olarak %1 düzeyinde anlamlı olduğunu
görülmektedir. Dolayısıyla bu sonuç aynı zamanda literatürde yer alan Black'in enflasyon belirsizliğinin ekonomik
büyüme üzerinde pozitif etkiye sahip olduğu hipotezini de desteklemektedir.
Ethical Statement
Etik kurul yok
Supporting Institution
yok
References
- Abbott, A., & De Vita, G. (2011). Revisiting the relationship between inflation and growth: A note on the role of
exchange rate regimes. Economic Issues, 16(1), 37.
- Ajevskis, V. (2007), Inflation and inflation uncertainty in Latvia. Bank of Latvia, Working Paper No. 4/2007
- Akgül, I., & Özdemir, S. (2012). Enflasyon eşiği ve ekonomik büyümeye etkisi. İktisat İşletme ve Finans, 27(313),
85-106.
- Akın, A. (2022). Türkiye’de enflasyon ve enflasyon belirsizliğinin iktisadi büyüme üzerine asimetrik etkileri: Eşik
değer analizi. (Yayımlanmamış Yüksek Lisans Tezi). Tekirdağ Namık Kemal Üniversitesi Sosyal Bilimler
Enstitüsü. Tekirdağ.
- Ananzeh, I. E. N. (2015). The relationship between inflation and its uncertainty: Evidence from
Jordan. International Journal of Economics and Financial Issues, 5(4), 929-932.
- Apergis, N. (2004). Inflation output growth,volatility and causality: Evidence from panel data and the G7
counrtries. Economics Letters, 83 (2), 185-191.
- Aydin, C., Esen, Ö., & Bayrak, M. (2016). Inflation and economic growth: A dynamic panel threshold analysis
for Turkish Republics in transition process. Procedia Social and Behavioral Sciences, 229, 196-205.
- Azam, M., & Khan, S. (2022). Threshold effects in the relationship between ınflation and economic growth:
Further empirical evidence from the developed and developing world. International Journal of Finance &
Economics. 27(4), 4224-4243.
- Ball, L. (1992). Why does high inflation raise inflation. Journal of Monetary Economics, 29(3), 23-44.
Berument, H., Yalcin Y., & Yıldırım J. (2011). The inflation and inflation uncertainty relationship for Turkey: A
dynamic framework. Emprical Economics, 41(2), 294-295.
- Black, F. (1987). Business cycles and equilibrium. Newyork: Basil Blackwell.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal Of Economics, 31(1),
307-327.
- Bollerslev, T. (1987). A conditional heteroskedastic time series model for speculative prices and rates of return.
Review of Economics and Statistics, 69(1), 542-547.
- Bozkurt, H. (2009). M-garch modellerinin karşılaştırmalı analizi. Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü
Dergisi, 18(2), 126-145.
- Caporale, B., & Caporale, T. (2002). Asymmetric effects of inflation shocks on inflation uncertainty. Atlantic
Economic Journal, 30(4), 385-388.
- Collins, L., & L, Schafer (2001). A comparison of inclusive and restrictive strategies in modern missing data
produres. Psychological Methods, 6(4), 217- 330.
- Crawford, A., & Kasumovich, M. (1996). Does inflation uncertainty vary with the level of inflation?. Available at
SSRN 75354.
- Cukierman, A., & Meltzer, A. (1986). A Theory of ambiguity, credibility and inflation under discretion and
asymetric information, Econometrica, 54(5), 1099-1128.
- Çiğdem, Y. (2013). Enflasyon-enflasyon belirsizliği ve merkez bankası bağımsızlığı ilişkisi. (Yayımlanmamış
Yüksek Lisans Tezi). Tokat Gaziosmanpaşa Üniversitesi Sosyal Bilimler Enstitüsü. Tokat.
- Dinçsoy, E. E., & Dinçsoy, M. O. (2020). Ekonomik büyümenin enflasyon üzerine etkisinin Türkiye ekonomisi
açısından analizi. Balkan and Near Eastern Journal of Social Sciences, 6, 118-124.
- Dotsey, M., & Sarte, P. D. (2000). Inflation uncertainty and growth in a cash-in-advance economy. Journal of
Monetary Economics, 45(3), 631-655.
- Elder, J. (2004). Oil price uncertainty, journal of money. Credit and Banking, 42(6), 10-18.
- Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United
Kingdom inflation. Econometrica, 50(1), 987-1007.
- Engle, R. F. (1983). Estimates of the variance of U.S. inflation based upon the arch model, Journal of Money,
Credit and Banking, 15(1), 286-301.
- Engle, R. F. (1995). Arch selected readings. Oxford University Press, Oxford.
- Erkam, S. (2008). Enflasyon ve enflasyon belirsizliği: Türkiye örneği, Sosyo Ekonomi, 4(7), 157-174.
- Esen, O., Aydin, C. & Aydin, R. (2016). Inflation threshold effect on economic growth in Turkey. Journal of
Advanced Research in Law and Economics, 8(22), 1983 – 1993.
- Evans, M. (1991). Discovering the link between inflation rates and inflation uncertainty. Journal of Money, Credit
and Banking, 23(2), 169-184.
- Feldstein, M. (1983). Domestic saving and ınternational capital movements in the long run and the short run.
European Economic Review, 21(1-2), 129-151.
- Fountas, S. (2001), The relationship between inflation and inflation uncertainty in the UK: 1885-1998. Economics
Letters, 74, 77-83
- Friedman, M. (1977). Nobel lecture: Inflation and unemployment. Journal of Political Economy, 85(3), 451-472.
- Göktaş, P., & Dişbudak, C. (2014). Modelling inflation uncertainty with structural breaks case of Turkey 1994–
2013. Mathematical Problems in Engineering, 2014.
- Grier, K., & Perry, M. J. (2000). The effects of real and nominal uncertainty on inflation and output growth: Some
garch-m evidence. Journal of Applied Econometrics, 15(1), 45-58.
- Grier, K., & Tullock, G. (1989). An empirical analysis of cross-national economic growth:1951-1980. Journal of
Monetary Economics, 24(1), 259-276.
- Grier, K., Olekalns H., & Shields, K. (2004). The asymmetric effects of uncertainty on inflation and output growth,
Journal of Applied Econometrics, 19(1), 551-565.
- Güzel, B. (2014). Tüketici fiyat endeksi ve üretici fiyat endeksi geçişkenliği: Türkiye örneği. (Yayımlanmamış
Yüksek Lisans Tezi). Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü, Trabzon.
- Hasanov, M. (2008). Enflasyon belirsizliğinin üretim üzerindeki etkileri: Türkiye örneği. Doğuş Üniversitesi
Dergisi, 9(2), 191-206.
- Holland, S. (1995). Inflation and uncertainty: Test for temporal ordering, journal of money. Credit and Banking,
25(4), 827-837.
- Hwang, Y. (2001). Relationship between inflation rate and inflation uncertainty. Economics Letters, 73, 179-186.
- Iyke B. N., & Ho, S. (2019). Inflation, inflation uncertainty, and growth: evidence from Ghana contemporary.
Economics. 13(2), 126-143.
- Javed, S. A., Khan, S. A., Haider, A., & Shaheen, F. (2012). Inflation and inflation uncertainty nexus: Empirical
evidence from Pakistan. International Journal of Economics and Financial Issues, 2(3), 348-356.
- Judson, R., & Orphanides, A. (1999). Inflation, volatility and growth. International Finance, 2(1), 117-138.
- Kara, H., & Orak, M. (2008). Enflasyon Hedeflemesi.
https://www.researchgate.net/publication/269398684_Enflasyon_Hedeflemesı sayfasından erişilmiştir.
Erişim Tarihi: 01.10.2008.
- Khan, M. (2016). Evidence on the functional form of inflation and output growth variability relationship in
European economies. International Economics, 146, 1-11.
- Koray, F. (1993). Inflation variability the Turkish economy. Journal Applied Economics, 25(6), 787- 793.
- Kusumatrisna, AL., Sugema, I. & Pasaribu, SH. (2022). Threshold effect in the relationship between inflation rate
and economic growth in Indonesia. Bull Monetary Econ Bank, 25, 117–132.
https://doi.org/10.21098/bemp.v25i1.1045.
- Lindley, D. (2006). Understanding uncertainty. UK: Wiley.
- López-Villavicencio, A., & Mignon, V. (2011). On the impact of inflation on output growth: Does the level of
inflation matter?. Journal of Macroeconomics, 33(3), 455-464.
- Mahdi, S., & Masood, S. (2011). The long run relationship between interest rates and inflation in Iran: Revisiting
fisher’s hypothesis. Journal of Economics and International Finance, 3(14), 705-712.
- Nas, T., & Perry, M. J. (2000). Inflation, inflation uncertainty and monetary policy in Turkey: 1960:1998.
Contemporary Economic Policy,18(2), 170-171.
- Ndoricmpa, A. (2014). The effects of uncertainty on inflation and output growth in four african oil-rich countries:
Evidence from an asymmetric multivariate garch-m model. American Journal of Economics, 4(4), 172-
173.
- Neyapti, B., & Kaya, N. (2001). Inflation and inflation uncertainty in Turkey: Evidence from the past two decades.
Yapı Kredi Economic Review, 12(2), 21-25.
- Okun, A. (1971). The mirage of steady ınflation. Econpapers, 2(2), 485-498.
- Oltulular, S., & Terzi, H. (2006). Yüksek enflasyon enflasyon belirsizliğini artırıyor mu?. İstanbul Üniversitesi
Ekonometri ve İstatistik Dergisi, 3, 12-11.
- Özdemir, Z. A., & Fisünoğlu, M. (2008). On the inflation-uncertainty hypothesis in Jordon, Phillipines and
Turkey: A long memory approach. International Review of Economics and Finance, 17(1), 9-11.
- Phiri, A. (2020). Endogenous monetary approach to optimal inflation–growth nexus in Swaziland. African Journal
of Economic and Management Studies, 11(4), 559-571.
- Pourgerami, A., & Maskus, K. (1987). The effects of inflation on the predictability of price changes in Latin
America: Some estimates and policy implications. World Development, 15(2), 287-290.
- Ramey, G., & Ramey, V. (1995). Cross-country evidence on the link between volatility and growth. American
Economic Review, 85(5), 1138-1150.
- Rizvi, K.A., & Naqvi, B. (2009). Inflation volatility: An asian perspective. University library of Munich. Germany:
MPRA.
- Salisu, A. A., & Oloko, T. F. (2015). Modeling oil price-US-stock nexus: A varma-bekk-agarch approach. Energy
Economics, 50(1), 1-12.
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