Küresel Finansal Koşullar, Döviz Kuru Baskısı ve Türkiye’de Enflasyon Dinamikleri

Abstract

Bu çalışma, küresel finansal koşulların Türkiye’deki yurt içi enflasyonu nasıl etkilediğini ve döviz kuru baskısının bu aktarım mekanizmasında önemli bir kanal oluşturup oluşturmadığını incelemektedir. Ocak 2010 ile Aralık 2024 dönemini kapsayan aylık veriler kullanılarak, şeffaf bir döviz kuru baskısı ölçüsü ile federal fon oranı, geniş nominal ABD doları endeksi ve BAA eksi federal fon farkından oluşturulan yalın bir küresel finansal koşullar endeksi bir araya getirilmiştir. Ampirik çerçeve, manşet ve çekirdek enflasyon için kurulan dinamik tek ülke zaman serisi modellerine dayanmaktadır. Modeller, ay-sabit etkileri ile Newey-West heteroskedastisite ve otokorelasyon tutarlı standart hataları kullanılarak tahmin edilmiştir. Bulgular, Türkiye’de enflasyonun güçlü bir süreklilik sergilediğini ve döviz kuru baskısının hem manşet hem de çekirdek enflasyon üzerinde pozitif ve iktisadi olarak anlamlı bir etkiye sahip olduğunu göstermektedir. Daha sıkı küresel finansal koşullar da yurt içi enflasyon ile pozitif ilişki içindedir ve bu ilişki özellikle çekirdek enflasyon denkleminde daha belirgin görünmektedir. Yardımcı döviz kuru baskısı denklemi, dış finansal sıkılaşmanın döviz piyasası baskısı ile bağlantılı olduğunu gösterirken, döviz kuru baskısının dışlandığı karşılaştırmalı modeller küresel finansal koşulların daha büyük bir kümülatif etkisine işaret etmektedir. Birlikte değerlendirildiğinde, bu bulgular döviz kuru baskısının dış finansal sıkılaşma ile yurt içi fiyatlar arasındaki ilişkinin bir bölümünü bünyesinde taşıdığı görüşüyle uyumludur. Çalışma, Türkiye’de enflasyon dinamiklerinin makro-finansal boyutunu, tamamen kamuya açık verilere dayanan şeffaf ve tekrarlanabilir aylık bir çerçeve içinde ortaya koyarak katkı sunmaktadır. Bulgular, Türkiye’de enflasyon kırılganlığının, küresel finansal ortam ile döviz kuru kanalı arasındaki etkileşim dikkate alınmadan yeterince değerlendirilemeyeceğini göstermektedir.

Keywords

• küresel finansal koşullar
• döviz kuru baskısı
• enflasyon dinamikleri
• döviz kuru geçişkenliği
• Türkiye

Global Financial Conditions, Exchange-Rate Pressure, and Inflation Dynamics in Türkiye

Abstract

This paper examines how global financial conditions affect domestic inflation in Türkiye and whether exchange-rate pressure constitutes an important transmission channel. Using monthly data from January 2010 to December 2024, the analysis combines a transparent measure of exchange-rate pressure with a parsimonious global financial conditions index constructed from the federal funds rate, the broad nominal U.S. dollar index, and the BAA minus federal funds spread. The empirical framework relies on dynamic single-country time-series models for headline and core inflation, estimated with month-of-year fixed effects and Newey-West heteroskedasticity- and autocorrelation-consistent standard errors. The results show that inflation in Türkiye is strongly persistent and that exchange-rate pressure has a positive and economically meaningful effect on both headline and core inflation. Tighter global financial conditions are also positively associated with domestic inflation, with the relationship appearing more clearly in the core inflation equation. An auxiliary exchange-rate-pressure equation indicates that external financial tightening is linked to foreign-exchange stress, while comparison models excluding exchange-rate pressure show a larger cumulative role for global financial conditions. Taken together, these findings are consistent with the view that foreign-exchange pressure absorbs part of the association between external tightening and domestic prices. The paper contributes by highlighting the macro-financial dimension of inflation dynamics in Türkiye within a transparent and replicable monthly framework based entirely on publicly accessible data. The findings imply that inflation vulnerability in Türkiye cannot be assessed adequately without accounting for the interaction between the global financial environment and the exchange-rate channel.

Keywords

• global financial conditions
• exchange-rate pressure
• inflation dynamics
• exchange-rate pass-through
• Türkiye

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