The Relationship between Türkiye’s and World Food Prices: Dynamic Correlation and Dynamic Regression Analysis

Year 2024, Volume: 32 Issue: 61, 413 - 426, 30.07.2024

Muhammed Veysel Kaya Şeyda Yıldız Ertuğrul

https://doi.org/10.17233/sosyoekonomi.2024.03.19

Abstract

The study employed a rigorous methodology to analyse the relationship between Türkiye’s and international food prices. Monthly data from 2005.1 to 2023.3 was used. Initially, the linearity of the series was examined, and upon discovering its nonlinear properties, the study was completed with nonlinear time series models. The applied analysis examined the dynamic correlation between Türkiye’s and world food prices using the DCC-GARCH method. This was followed by using MSR and Kalman filter models for dynamic regression analysis, providing a comprehensive understanding of the relationship.

Keywords

CPI, Food Price, Consumption

Türkiye ve Dünya Gıda Fiyatları İlişkisi: Dinamik Korelasyon ve Dinamik Regresyon Analizi

Abstract

Çalışmada Türkiye gıda fiyatları ve dünya gıda fiyatları ilişkisi 2005.1-2023.3 dönemini kapsayan aylık veriler kullanılarak analiz edilmiştir. Çalışmada önce serilerin doğrusallıkları analiz edilmiş ve serilerin doğrusal olmayan özellik taşıdıkları ortaya konulduktan sonra doğrusal olmayan zaman serisi modelleri ile uygulamalı çalışma tamamlanmıştır. Uygulamalı analizde önce Türkiye ve dünya gıda fiyatları arasındaki dinamik korelasyon ilişkisi DCC-GARCH yöntemi kullanılarak incelenmiş ardından dinamik regresyon analizi için MSR ve Kalman filtresi modelleri kullanılmıştır.

Keywords

TÜFE, Gıda Fiyatları, Tüketim

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