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Determinants of Inflation in Türkiye (2006-2023): ARDL Approach

Year 2024, Volume: 10 Issue: 2, 445 - 461, 15.10.2024
https://doi.org/10.20979/ueyd.1532625

Abstract

In this study, the factors affecting inflation in Türkiye during the period of 2006-2023 are examined using the Autoregressive Distributed Lag (ARDL) approach. In this framework, the most recent data set is utilized to investigate the short and long-term effects of key macroeconomic indicators such as policy interest rate of the Central Bank of the Republic of Türkiye (CBRT), effective exchange rate, oil prices, total imports, and industrial production index on inflation. The empirical findings of the study reveal that both in the long and short term, the most significant effect on inflation is found to be in the percentage change in effective exchange rate, followed by percentage changes in total imports and industrial production index. Additionally, it is determined that there is no effect of percentage changes in oil prices on inflation both in the short and long term. Consequently, it is expected that this study sheds light on making future predictions for inflation and taking necessary measures to combat high inflation within policymaking circles.

References

  • Alev, N. (2019). Türkiye’de Enflasyonun Belirleyicileri: ARDL Sınır Testi Yaklaşımı (2006:Q1-2018:Q2 Dönemi) / Determinants of Inflation in Turkey: ARDL Bounds Testing Approach (2006:Q1-2018:Q2 Period). Uluslararası Ekonomi İşletme ve Politika Dergisi, 3(1), 1-18.
  • Al-Jafari, M. K. and Altaee, H. H. A. (2019). Determinants of Inflation Sources in Iraq: An Application of Autoregressive Distributed Lag (ARDL) Model. The Journal of Social Sciences Research, Academic Research Publishing Group, Vol. 5(2), Pages 381-388, 0.
  • Alt, R. and Krämer, W. (1986). A Modification of the CUSUM Test. Research Memorandum No. 229. Vienna: Institute for Advanced Studies.
  • Banerjee, A., Galbraith, J. and Hendry, D. (1993). Cointegration, Error Correction and the Econometric Analysis of Non-stationary Data. Oxford Univ. Press, Oxford.
  • Banerjee, A., Dolado, J. and Mestre, R. (1998). Error-Correction Mechanism Tests for Cointegration in a Single Equation Framework. Journal of Time Series Analysis 19, 267–283.
  • Bedir, S. ve Tural, A. (2014). Bütçe Açığı ve Enflasyon: Türkiye için bir Sınır Testi Yaklaşımı. International Conference on Eurasian Economies.
  • Bikai J. L., Batoumen M. H. and Fossouo A. L. (2016). Determinants of Inflation in CEMAC: The Role of Money. Bank of Central African States. Munich Personal RePEc Archive. Retrieved from https://mpra.ub.uni-muenchen.de/89111/
  • Byanjankar, R. (2020). Determinants of Inflation in Nepal: An Application of ARDL Bounds Testing Approach to Cointegration. NRB Working Paper, No. 48.
  • Catao, L. and Terrones, M. E. (2003). Fiscal Deficits and Inflation. A Working Paper of the International Monetary Fun.
  • Cottarelli, C., Griffiths, M. and Moghadam, R. (1998). The Nonmonetary Determinants of Inflation: A Panel Data Study. A Working Paper of the International Monetary Fun.
  • Çelik, A. (2021). Türkiye’de Enflasyonun Belirleyicilerinin VAR Yöntemi ile Analizi (2008-2019). İzmir İktisat Dergisi, 36(1), 135-153.
  • Dibooglu, S. and Kibritcioglu, A. (2004). Inflation, Output Growth, and Stabilization in Turkey, 1980–2002. Journal of Economics and Business 56 (2004) 43–61.
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49 (4), 1057-1072.
  • Dua, P. and Gaur, U. (2009). Determination of Inflation in an Open Economy Phillips Curve Framework: The Case of Developed and Developing Asian Countries. Working Papers 178, Centre for Development Economics, Delhi School of Economics.
  • Eftekhar Mahabadi, S. and Kiaee, H. (2015). Determinants of Inflation in Selected Countries. Journal of Money and Economy, 10 (2), 113–148.
  • Ellahi, N. (2017). The Determinants of Inflation in Pakistan: An Econometric Analysis. Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, Vol. 20(64), Pages 2-12, June.
  • Emeka and Kelvin, A. (2016). Autoregressive Distributed Lag (ARDL) Cointegration Technique: Application and Interpretation. Journal of Statistical and Econometric Methods, 5 (3), 63–91.
  • Erdoğan, S., Yıldırım, D. Ç., and Gedikli, A. (2020). Dynamics and Determinants of Inflation During the COVID-19 Pandemic Period in European Countries: A Spatial Panel Data Analysis. Duzce Medical Journal, 22(Special Issue), 61-67.
  • Friedman, M. (1963). Inflation: Causes and Consequences. New York: Asia Publishing House.
  • Greenidge, K. and DaCosta, D. (2009). Determinants of Inflation in Selected Caribbean Countries. Business, Finance & Economics in Emerging Economies, Vol. 4, No. 2.
  • Islam, R., Ferdous, R., Sultana, N. and Nomi, M. (2022). Major Macroeconomic Determinants of Inflation in Bangladesh: An ARDL Bound Test Approach. Economics, Vol. 11, No. 4, 2022, pp. 200-210.
  • Kaya, A. (2022). Petrol Fiyatları ile Enflasyon İlişkisi. Yüksek Lisans Tezi. Karabük.
  • Kolcu, F. (2023). Determinants of Inflation in Türkiye. Hitit Journal of Social Sciences, 16(1), 31-55.
  • Laryea, S. A. and Sumaila, U. R. (2001). Determinants of Inflation in Tanzania. CMI Working Paper WP/97/145. IMF, Washington DC.
  • Lim, Y. C. and Sek, S. K. (2015). An Examination on the Determinants of Inflation. Journal of Economics, Business and Management, Vol. 3, No. 7, July 2015.
  • Mavruk, C. and Göçmen, K. (2023). Analysis of Macroeconomic Determinants of Inflation. Social Sciences in a Globalizing World, 7.
  • Natsiopoulos, K. and Tzeremes, N. G. (2023). ARDL: an R Package for ARDL Models and Cointegration. Computational Economics, 1-17.
  • Oktayer, A. (2010). Türkiye’de Bütçe Açığı, Para Arzı ve Enflasyon İlişkisi. Maliye Dergisi, Sayı 15, Ocak-Haziran 2010.
  • Pesaran, M. H., Shin, Y. and Smithi, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics 16: 289–326. Phillips, P. C. B. and Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75, 335-346.
  • Sengul, Z. O. (2020). Drivers of Inflation in Developing Countries. A Thesis Submitted to the Graduate School of Social Sciences of Middle East Technical University.
  • Şahinoğlu, T., Özden, K., Başar, S. ve Aksu, H. (2010). Türkiye’de Enflasyonun Oluşumu: ARDL Yaklaşımı. Sosyoekonomi, 11(11).
  • Tolasa, S., Whakeshum, S. T. and Mulatu, N. T. (2022). Macroeconomic Determinants of Inflation in Ethiopia: ARDL Approach to Cointegration. European Journal of Business Science and Technology, 8 (1): 96–120. ISSN 2694-7161, DOI 10.11118/ejobsat.2022.004.
  • Yamaçlı, S. and Saatçi, M. (2016). Economic Determinants of Consumer Inflation in Turkey: ARDL Analysis. Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, Vol. 7(3), Pages 53-71, July.
  • Yenisu, E. (2019). Türkiye’de Enflasyonun Makroekonomik Belirleyicileri: Toda-Yamamoto Nedensellik Analizi. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi 7/1 (Ocak 2019), 43-58.

Türkiye’de Enflasyonun Belirleyicileri (2006-2023): ARDL Yaklaşımı

Year 2024, Volume: 10 Issue: 2, 445 - 461, 15.10.2024
https://doi.org/10.20979/ueyd.1532625

Abstract

Bu çalışmada, Türkiye’de 2006-2023 döneminde enflasyonu etkileyen faktörler Otoregresif Dağıtılmış Gecikme (ARDL) yaklaşımı ile incelenmektedir. Bu çerçevede, en güncel veri seti kullanılarak Türkiye Cumhuriyet Merkez Bankası (TCMB) politika faizi, efektif döviz kuru, petrol fiyatları, toplam ithalat ve sanayi üretim endeksi gibi önemli makroekonomik göstergelerin enflasyon üzerindeki kısa ve uzun dönem etkileri araştırılmaktadır. Çalışmanın ampirik bulgularında, hem uzun hem de kısa dönemde enflasyon üzerinde en önemli etkinin efektif döviz kurundaki yüzde değişim olduğu, ardından sırasıyla toplam ithalattaki yüzde değişim ve sanayi üretim endeksinin geldiği belirlenmiştir. Ayrıca petrol fiyatlarındaki yüzde değişimin hem kısa dönem hem de uzun dönemde enflasyon üzerinde bir etkisinin olmadığı belirlenmiştir. Sonuç olarak, çalışmanın enflasyonun ileriye yönelik tahminlerinin yapılması ve yüksek enflasyonla mücadele kapsamında gereken önlemlerin alınması konusunda politika yapıcılara ışık tutması beklenmektedir.

References

  • Alev, N. (2019). Türkiye’de Enflasyonun Belirleyicileri: ARDL Sınır Testi Yaklaşımı (2006:Q1-2018:Q2 Dönemi) / Determinants of Inflation in Turkey: ARDL Bounds Testing Approach (2006:Q1-2018:Q2 Period). Uluslararası Ekonomi İşletme ve Politika Dergisi, 3(1), 1-18.
  • Al-Jafari, M. K. and Altaee, H. H. A. (2019). Determinants of Inflation Sources in Iraq: An Application of Autoregressive Distributed Lag (ARDL) Model. The Journal of Social Sciences Research, Academic Research Publishing Group, Vol. 5(2), Pages 381-388, 0.
  • Alt, R. and Krämer, W. (1986). A Modification of the CUSUM Test. Research Memorandum No. 229. Vienna: Institute for Advanced Studies.
  • Banerjee, A., Galbraith, J. and Hendry, D. (1993). Cointegration, Error Correction and the Econometric Analysis of Non-stationary Data. Oxford Univ. Press, Oxford.
  • Banerjee, A., Dolado, J. and Mestre, R. (1998). Error-Correction Mechanism Tests for Cointegration in a Single Equation Framework. Journal of Time Series Analysis 19, 267–283.
  • Bedir, S. ve Tural, A. (2014). Bütçe Açığı ve Enflasyon: Türkiye için bir Sınır Testi Yaklaşımı. International Conference on Eurasian Economies.
  • Bikai J. L., Batoumen M. H. and Fossouo A. L. (2016). Determinants of Inflation in CEMAC: The Role of Money. Bank of Central African States. Munich Personal RePEc Archive. Retrieved from https://mpra.ub.uni-muenchen.de/89111/
  • Byanjankar, R. (2020). Determinants of Inflation in Nepal: An Application of ARDL Bounds Testing Approach to Cointegration. NRB Working Paper, No. 48.
  • Catao, L. and Terrones, M. E. (2003). Fiscal Deficits and Inflation. A Working Paper of the International Monetary Fun.
  • Cottarelli, C., Griffiths, M. and Moghadam, R. (1998). The Nonmonetary Determinants of Inflation: A Panel Data Study. A Working Paper of the International Monetary Fun.
  • Çelik, A. (2021). Türkiye’de Enflasyonun Belirleyicilerinin VAR Yöntemi ile Analizi (2008-2019). İzmir İktisat Dergisi, 36(1), 135-153.
  • Dibooglu, S. and Kibritcioglu, A. (2004). Inflation, Output Growth, and Stabilization in Turkey, 1980–2002. Journal of Economics and Business 56 (2004) 43–61.
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49 (4), 1057-1072.
  • Dua, P. and Gaur, U. (2009). Determination of Inflation in an Open Economy Phillips Curve Framework: The Case of Developed and Developing Asian Countries. Working Papers 178, Centre for Development Economics, Delhi School of Economics.
  • Eftekhar Mahabadi, S. and Kiaee, H. (2015). Determinants of Inflation in Selected Countries. Journal of Money and Economy, 10 (2), 113–148.
  • Ellahi, N. (2017). The Determinants of Inflation in Pakistan: An Econometric Analysis. Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, Vol. 20(64), Pages 2-12, June.
  • Emeka and Kelvin, A. (2016). Autoregressive Distributed Lag (ARDL) Cointegration Technique: Application and Interpretation. Journal of Statistical and Econometric Methods, 5 (3), 63–91.
  • Erdoğan, S., Yıldırım, D. Ç., and Gedikli, A. (2020). Dynamics and Determinants of Inflation During the COVID-19 Pandemic Period in European Countries: A Spatial Panel Data Analysis. Duzce Medical Journal, 22(Special Issue), 61-67.
  • Friedman, M. (1963). Inflation: Causes and Consequences. New York: Asia Publishing House.
  • Greenidge, K. and DaCosta, D. (2009). Determinants of Inflation in Selected Caribbean Countries. Business, Finance & Economics in Emerging Economies, Vol. 4, No. 2.
  • Islam, R., Ferdous, R., Sultana, N. and Nomi, M. (2022). Major Macroeconomic Determinants of Inflation in Bangladesh: An ARDL Bound Test Approach. Economics, Vol. 11, No. 4, 2022, pp. 200-210.
  • Kaya, A. (2022). Petrol Fiyatları ile Enflasyon İlişkisi. Yüksek Lisans Tezi. Karabük.
  • Kolcu, F. (2023). Determinants of Inflation in Türkiye. Hitit Journal of Social Sciences, 16(1), 31-55.
  • Laryea, S. A. and Sumaila, U. R. (2001). Determinants of Inflation in Tanzania. CMI Working Paper WP/97/145. IMF, Washington DC.
  • Lim, Y. C. and Sek, S. K. (2015). An Examination on the Determinants of Inflation. Journal of Economics, Business and Management, Vol. 3, No. 7, July 2015.
  • Mavruk, C. and Göçmen, K. (2023). Analysis of Macroeconomic Determinants of Inflation. Social Sciences in a Globalizing World, 7.
  • Natsiopoulos, K. and Tzeremes, N. G. (2023). ARDL: an R Package for ARDL Models and Cointegration. Computational Economics, 1-17.
  • Oktayer, A. (2010). Türkiye’de Bütçe Açığı, Para Arzı ve Enflasyon İlişkisi. Maliye Dergisi, Sayı 15, Ocak-Haziran 2010.
  • Pesaran, M. H., Shin, Y. and Smithi, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics 16: 289–326. Phillips, P. C. B. and Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75, 335-346.
  • Sengul, Z. O. (2020). Drivers of Inflation in Developing Countries. A Thesis Submitted to the Graduate School of Social Sciences of Middle East Technical University.
  • Şahinoğlu, T., Özden, K., Başar, S. ve Aksu, H. (2010). Türkiye’de Enflasyonun Oluşumu: ARDL Yaklaşımı. Sosyoekonomi, 11(11).
  • Tolasa, S., Whakeshum, S. T. and Mulatu, N. T. (2022). Macroeconomic Determinants of Inflation in Ethiopia: ARDL Approach to Cointegration. European Journal of Business Science and Technology, 8 (1): 96–120. ISSN 2694-7161, DOI 10.11118/ejobsat.2022.004.
  • Yamaçlı, S. and Saatçi, M. (2016). Economic Determinants of Consumer Inflation in Turkey: ARDL Analysis. Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, Vol. 7(3), Pages 53-71, July.
  • Yenisu, E. (2019). Türkiye’de Enflasyonun Makroekonomik Belirleyicileri: Toda-Yamamoto Nedensellik Analizi. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi 7/1 (Ocak 2019), 43-58.
There are 34 citations in total.

Details

Primary Language Turkish
Subjects Econometrics Theory, Time-Series Analysis, Macroeconomic Theory
Journal Section Research Articles
Authors

Fulya Gezer 0000-0002-4885-1213

Early Pub Date October 3, 2024
Publication Date October 15, 2024
Submission Date August 13, 2024
Acceptance Date September 17, 2024
Published in Issue Year 2024 Volume: 10 Issue: 2

Cite

APA Gezer, F. (2024). Türkiye’de Enflasyonun Belirleyicileri (2006-2023): ARDL Yaklaşımı. Uluslararası Ekonomi Ve Yenilik Dergisi, 10(2), 445-461. https://doi.org/10.20979/ueyd.1532625

International Journal of Economics and Innovation

Karadeniz Technical University, Department of Economics, 61080, Trabzon/Türkiye
28816