ASYMMETRIC EFFECT OF CENTRAL BANK CREDIBILITY ON INFLATION RATE: THE CASE OF TURKEY

Abstract

In this paper, for the period of October 2010-March 2021, it is investigated that short and long-term asymmetric effects of CBRT’s credibility on CPI inflation rate by using NARDL method developed by Shin et al. (2014). The empirical findings are as follows: (i) The fact that long-term coefficients are negative and statistically significant shows that increases in central bank credibility reduce the inflation rate, while decreases in central bank credibility increase the inflation rate. (ii) According to dynamic asymmetric multiplier findings, when credibility decreases, the inflation rate increases statistically significantly by starting in the fourth month until the end of the sixth month. (iii) The fact that the increase in the inflation rate as a result of the decrease in credibility is greater than the decrease in the inflation rate as a result of the increase in credibility can be interpreted as the CBRT’s ability to control of inflation weakens by the deterioration of credibility. (iv) In addition, it seems that the pass-through effect from the changes in the exchange rate and oil prices on the inflation rate continues at the long term.

Keywords

• Central Bank Credibility
• Flexible Inflation Targeting
• NARDL

MERKEZ BANKASI KREDİBİLİTESİNİN ENFLASYON ORANI ÜZERİNDEKİ ASİMETRİK ETKİSİ –TÜRKİYE ÖRNEĞİ–

Abstract

Bu çalışmada Ekim 2010-Mart 2021 dönemi için TCMB’nin kredibilitesinin TÜFE enflasyon oranı üzerindeki kısa ve uzun dönem asimetrik etkileri Shin vd. (2014) tarafından geliştirilen NARDL yöntemi kullanılarak incelenmektedir. Çalışmada elde edilen ampirik bulgular şöyledir: (i) Uzun dönem katsayılarının negatif ve istatistiksel olarak anlamlı bulunması, merkez bankası kredibilitesinde meydana gelen artışların enflasyon oranını düşürdüğünü, merkez bankası kredibilitesindeki düşüşlerin ise enflasyon oranını yükselttiğini göstermektedir. (ii) Dinamik asimetrik çarpan bulgularına göre; kredibilite azaldığında, enflasyon oranı dördüncü ayda başlayıp altıncı ayın sonuna kadar istatistiksel olarak anlamlı bir şekilde artmaktadır. (iii) Kredibilitedeki düşüş sonucunda enflasyon oranındaki artışın kredibilitedeki artış sonucunda enflasyon oranındaki düşüşten daha büyük olması, kredibilitenin bozulmasının TCMB’nin enflasyonu kontrol etme yeteneğini zayıflattığı şeklinde yorumlanabilir. (iv) Ayrıca döviz kurundaki ve petrol fiyatlarındaki değişimlerin enflasyon oranına geçiş etkisinin uzun dönemde devam ettiği görülmektedir.

Keywords

• Merkez Bankası Kredibilitesi
• Esnek Enflasyon Hedeflemesi
• NARDL

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