AN ANALYSIS OF THE RELATIONSHIP BETWEEN INFLATION AND INFLATION VOLATILITY IN EMERGING ECONOMIES / Gelişmekte Olan Ülkelerde Enflasyon ve Enflasyon Oynaklığı Arasındaki İlişki Üzerine İnceleme

Abstract

The relationship between inflation and its volatility has been analyzed extensively in the macroeconomics literature. Most studies concluded that a strong and positive empirical relation exists between the variables. Over time, the topic was analyzed in more theoretical setups and the hypothesis that there exists a strong and positive relationship between inflation and its volatility came to be known as the Friedman-Ball hypothesis and was analyzed for many country groups and time periods. In contrast to these studies, especially after the 2008 financial crisis, other studies established that the relation could be non-monotonic. In the present study, the relation between inflation and its volatility has been analyzed for BRICS economies and the Euro area for the period 2002-2020 using two different inflation measures. We find that the Friedman-Ball hypothesis is confirmed when a long-term inflation measure is used and partly refuted when a short-term inflation measure is used. An implication is that the results are contrasting for emerging economies and for different inflation measures.

Keywords

• Inflation volatility
• BRICS economies
• Friedman-Ball hypothesis

GELİŞMEKTE OLAN ÜLKELERDE ENFLASYON VE ENFLASYON OYNAKLIĞI ARASINDAKİ İLİŞKİ ÜZERİNE İNCELEME / An Analysis of The Relationship Between Inflation And Inflation Volatility In Emerging Economies

Öz

Enflasyon ve enflasyon oynaklığı arasındaki ilişki, makroekonomi literatüründe kapsamlı olarak incelenmiştir. Araştırmacılar 1970’li yıllarda iki veri arasındaki ilişkiyi kuvvetli ve pozitif olarak ortaya çıkan bir ampirik bulgu olarak ortaya koyarken, zamanla konu, daha teorik bir çerçeveye oturtulmuştur. Friedman-Ball hipotezi olarak adlandırılan bu tez, zamanla birçok ülke grubu ve zaman dilimi için incelenmiştir ve tasdik edilmiştir. Özellikle 2008 krizinden sonra bazı araştırmacılar ilişkinin monotonik olmayabileceğini de öne sürmüşlerdir. Bu çalışmada, enflasyon ile enflasyon oynaklığı arasındaki ilişki, BRICS ülkeleri ve Avro bölgesi için 2002-2020 aralığı için incelenmiştir. İki farklı enflasyon ölçüsünün kullanıldığı ve 2008 krizi öncesi ve sonrasının da incelendiği analizin bulguları özetle, uzun vadeli enflasyon ölçüsü kullanıldığında Friedman-Ball hipotezinin doğrulandığını, kısa vadeli enflasyon ölçüsü kullanıldığında ise hipotezin kısmen doğrulandığı, kısmen reddedildiğini ortaya koymaktadır. Bunlarla beraber sonuçlarımız hipotezin, gelişmekte olan ülkelerde, gelişen ülkelere kıyasla daha çok farklılık arz ettiğini ortaya koymaktadır.

Anahtar Kelimeler

• Enflasyon oynaklığı
• BRICS ülkeleri
• Friedman-Ball hipotezi

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