Enflasyon Volatilitesinin Otoregresif Koşullu Değişen Varyans Modelleri ile İncelenmesi: Türkiye Örneği

Year 2024, Volume: 38 Issue: 4, 238 - 244, 15.10.2024

Uğur Ayık , Hüseyin Özer

https://doi.org/10.16951/trendbusecon.1521577

Abstract

Türkiye ekonomisinde son on yılda yaşanan aşırı fiyat artışları, ülke ekonomisinde önemli bir refah kaybına sebebiyet vermiş olup enflasyondaki fiyat artışlarının kalıcılığının literatürde yeterli sayıda incelenmediği gözlemlenmiştir. Bu çalışmadaki temel amaç 2005M01-2024M04 zaman serisini baz alarak fiyat artışlarının kalıcı olup olmadığını ampirik analizlerle sorgulamaktır. Geleneksel birim kök testleriyle enflasyon serisinin durağanlığının incelendiği çalışmada, enflasyondaki şokların kalıcılığını araştırmak için otoregresif koşullu değişen varyans modellerinden yararlanılmıştır. Elde edilen bulgulara göre, Türkiye için enflasyondaki volatilitenin kalıcı olduğu tespit edilmiş, sonuçlar değerlendirilerek politika önerisinde bulunulmuştur.

Keywords

Enflasyon, Volatilite, Birim Kök Testi, Otoregresif Koşullu Değişen Varyans Modelleri

Examining the Inflation Volatility with Autoregressive Conditional Heteroscedasticity Models: The Case of Türkiye

Abstract

The extreme price increases experienced in the Turkish economy in the last decade have caused a significant loss of welfare in the country's economy, and it has been observed that the persistence of price increases in inflation has not been examined sufficiently in the literature. The main purpose of this study is to question whether price increases are persistent through empirical analysis, based on the 2005M01-2024M04 time series. In the study where the stationarity of the inflation series has been examined with traditional unit root tests, autoregressive conditional heteroscedasticity models have been used to investigate the persistence of shocks in inflation. According to the findings, it has been determined that the volatility in inflation for Türkiye is persistent, and policy implications have been made by evaluating the results.

Keywords

Inflation, Volatility, Unit Root Test, Autoregressive Conditional Heteroskedasticity Models

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