THE EFFECT OF PRODUCER PRİCES ON CONSUMER PRİCES: EVİDENCES FROM TURKEY

Yıl 2022, Cilt: 22 Sayı: 2, 685 - 701, 31.07.2022

Orhan Şanlı

https://doi.org/10.11616/asbi.1095869

Öz

In this study, the causality and cointegration relationship between PPI and CPI was examined in Turkey, using monthly data between the years 2005-2021. For this purpose, ARDL bounds test, Granger test and Toda-Yamamoto Granger causality test methods were used. According to the results of the analysis, there is a very strong cointegration relationship between PPI and CPI and the series move together. In fact, it is seen that a 1% increase in PPI in the long term leads to an increase of approximately 1.1% in CPI. Finally, according to the standard Granger and Toda-Yamamoto tests, there is a unidirectional causality relationship from PPI to CPI. These results show that PPI is an important determinant of CPI ib Turkey. In addition, according to these results, it is very important to consider the cost push factors that enable the transition from PPI to CPI in order to maintain the inflation targeting program.

Anahtar Kelimeler

PPI, CPI, ARDL, Toda-Yamamoto, Granger Causality

ÜRETİCİ FİYATLARININ TÜKETİCİ FİYATLARINA ETKİSİ: TÜRKİYE’DEN KANITLAR

Öz

Bu çalışmada ÜFE ve TÜFE arasında nedensellik ve eşbütünleşme ilişki 2005-2021 yılları arasında aylık veriler kullanarak Türkiye özelinde incelenmiştir. Bu amaçla ARDL sınır testi, Granger testi ve Toda-Yamamoto testi yöntemleri kullanılmıştır. Analiz sonuçlarına göre, ÜFE ve TÜFE arasında oldukça güçlü bir eşbütünleşme ilişkisi vardır ve seriler birlikte hareket etmektedir. Öyle ki, uzun dönemde ÜFE’de meydana gelen %1’lik bir artışın TÜFE’de yaklaşık %1.1 oranında bir artışa yol açtığı görülmektedir. Son olarak standart Granger ve Toda-Yamamoto testlerine göre ÜFE’den TÜFE’ye doğru tek yönlü bir nedensellik ilişkisi vardır. Bu sonuçlar Türkiye’de ÜFE’nin, TÜFE’nin önemli bir belirleyicisi olduğunu göstermektedir. Ayrıca bu sonuçlara göre enflasyon hedeflemesi programının sürdürülebilmesi için ÜFE’den TÜFE’ye geçişi sağlayan maliyet itici etkenlerin dikkate alınması önemlidir.

Anahtar Kelimeler

ÜFE, TÜFE, ARDL, Toda-Yamamoto, Granger Nedensellik

Kaynakça

• Abdioğlu, Z. ve Korkmaz, Ö. (2012), Tüketici ve Üretici Fiyat Endekslerinde Fiyat Geçişkenliği: Alt Sektörler, Çukuroava Üniversitesi İİBF Dergisi, 16(2), s.65-81.
• Akçay, S. (2011), The Causal Relationship Between Producer Price Index and Consumer Price Index: Empirical Evidence from Selected European Countries, International Journal of Economics and Finance, 3(6), s.227-232.
• Akdi, Y., Berument, H. ve Cilasun, S. M. (2006), The Relationship Between Different Price Indices: Evidence From Turkey, Physica A: Statistical Mechanics and its Applications, 360(2), s.483-492.
• Alemu, Z. G. (2012), Causality Links Between Consumer and Producer Price Inflation in South Africa, Applied Economics Letters, 19(1), s.13-18.
• Bahmani-Oskooee, M. ve Chi Wing Ng, R. (2002), Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model, International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, 1(2), s.147-155.
• Barth, J. R. ve Bennetth, J.T. (1975), Cost-Push-Versus Demand-Pull Inflation: Some Empirical Evidence, Journal of Money, Credit and Banking, 7(3), s.391-397.
• BLS, (2014), How Does the Producer Price Index Differe from the Consumer Price Index? Comparing the Personal Consumption PPI with the CPI, https://www.bls.gov/ppi/methodology-reports/comparing-the-producer-price-index-for-personal-consumption-with-the-us-all-items-cpi-for-all-urban-consumers.htm.
• Boskin, M. J., Dulberger, E. R., Gordon, R. J., Griliches, Z. ve Jorgenson, D. W. (1998),Consumer Prices, the Consumer Price Index, and the Cost of Living, Journal of Economic Perspectives, 12(1), s.3-26.
• Brown, R. L., Durbin, J. ve Evans, J. M. (1975), Techniques for Testing The Constancy of Regression Relations Over Time, Journal of the Royal Statistical Society, 37, s.149-192.
• Caporale, G. M. ve Pittis, N. (1999), Efficient Estimation of Cointegrating Vectors and Testing for Causality in Vector Autoregressions, Journal of Economic Surveys, 13, s.3–35.
• Caporale, G. M., Katsimi, M. ve Pittis, N. (2002), Causality Links Between Consumer and Producer Prices: Some Empirical Evidence, Southern Economic Journal, 68, s.703-711.
• Chen, Y. (2011), Research on the Relationship Between PPI, Enterprise Commodity Price Index, M2 and CPI, Journal of Liaoning University (Philosophy and Social Sciences), 39, s.97-103.
• Chi-wei,S., Khan, K., Lobont, O-R. ve Sung, H-C. (2018), Is there any Relationship between Producer Price Index and Consumer Price Index in Slovakia?, Ekonomický časopis, 64(7), s.611-628.
• Clark, T. (1995), Do producer prices lead consumer prices?, Federal Reserve Bank of Kansas City Economic Review, Third Quarter, s.25-39.
• Colclough, W. G. ve Lange, M. D. (1982), Empirical Evidence of Causality From Consumer to Wholesale Prices, Journal of Econometrics, 19, s.379-384.
• Cushing, M. J. ve McGarvey, M. G. (1990), Feedback Between Wholesale and Consumer Price Inflation: A Reexamination of the Evidence, Southern Economic Journal 56, s.1059-72.
• Çelik, A. (2021), Türkiye’de Enflasyonun Belirleyicilerinin VAR Yöntemi İle Analizi (2008-2019), İzmir İktisat Dergisi, 36 (1) , 135-153.
• Dickey, D. A. ve Fuller, W. A. (1979), Distribution of Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74, s.427-431.
• Edwars, S. (2006), The Relationship Between Exchange Rate and Inflation Targeting Revisited, NBER, Working Paper No. 12163.
• Engle, R. F. (1978), Testing Price Equations for Stability Across Spectral Frequency Bands, Econometrica, 46(4), s.869–881.
• Engle, R. F. ve Granger, C. W. J. (1987), Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55(2), s.251–276.
• Filho, R. I. R. L. (2019), Does PPI lead CPI IN Brazil?, International Journal of Production Economics, 214, 73-79.
• Ghazali, M. H., Yee, O. A. ve Mohammad, M. Z. (2008), Do Producer Prices Cause Consumer Prices? Some Empirical Evidence, International Journal of Business and Management, 3(11), s.78-82.
• Jabara, C. L. (2009), How Do Exchange Rates Affect Import Prices? Recent Economic Literature and Data Analysis, U.S. International Trade Center, Office of Industris Working Paper, No:ID21.
• Jones, J. D. (1986), Consumer Prices, Wholesale Prices, and Causality, Empirical Economics, 11, s.41–55.
• Khan, K., Su, C-W., Tao, R., Lobon, O. A. (2018). Producer Price Index and Consumer Price Index: Causality in Central and Eastern European Countries. Ekonomicky Casopis, 66(4), 367-395.
• Koçak, N. A. (2021), Analysis of Relationship between the Consumer and Producer Prices in Turkey using Alternative Estimation Methods, Business and Economics Research Journal, 1, 33-47.
• Krugman, P. (1987), Pricing-to-Market When the Exchange Rate Changes, in Sven W. Arndt and J. David Richardson, eds., Real Financial Linkages Among Open Economies, MIT Press, Cambridge MA, s.49-70.
• Lee, S., NG, C. L. ve Woo, K.(2014), Evidence From Asymmetric Adjustment and Causality Between Consumer and Producer Prices in the Four Selected European Economies, Hong Kong Shue Yan University,Working Paper Series. https://ra.lib.hksyu.edu.hk/jspui/bitstream/20.500.11861/2560/1/workingpaper_2014_Aug_Lee.pdf
• Li, D., Tang, G., Yang, D. ve Du, D. (2019), Research on the Relationship between CPI and PPI Based on VEC Model, Open Journal of Statistics, 9, s.218-229.
• Li, S., Tang, G., Yang, D., Du, S. (2019). Research on the Relationship between CPI and PPI Based on VEC Model, Open Journal of Statistics, 9(2).
• Lutkepohl, H. (1982), Non-Causality Due to Omitted Variables, Journal of Econometrics, 19, s.367–85.
• Narayan S. ve Narayan P. K. (2004)i Determinats of Demand of Fiji’s Exports: An Empirical Investigation, The Developing Economics, 17(1), s.95-112.
• Oral, O. & Eştürk, Ö. (2022), Üretici Fiyatından Gıda Tüketici Fiyatına Asimetrik İletim, Fırat Üniversitesi Sosyal Bilimler Dergisi, 32 (2) , 675-683 .
• Öner, H. (2018a), Tüketici ve Üretici Fiyat Endeksleri Arasındaki İlişkinin Granger Nedensellik Testi Yoluyla İncelenmesi, Finans Ekonomi ve Sosyal Araştırmalar Dergisi , 3(1), s.318-327.
• Öner, H. (2018b), TÜFE ve Yurt İçi ÜFE Enflasyon Oranları İle Alt Enflasyon Kalemleri Arasındaki İlişkinin Ampirik Analizi, Omer Halisdemir Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi, 11(4). 129-142.
• Özpolat, A. (2020), Causal Link Between Consumer Prices Index and Producer Prices Index: An Evidence From Central and Eastern European Countries (CEECs), ADAM AKADEMİ Sosyal Bilimler Dergisi, 10(2), 319-332.
• Pesaran, M. H., Shin, Y. ve Smith, R. J. (2001), BoundsTestingAproachestoThe Analysis of Level Relationships, Journal of AppliedEconometrics, 16, s.289-326.
• Phillips, P. C. B. ve Perron, P. (1988), Testing for Unit Roots in Time Series Regression, Biometrika, 75, s.335-346.
• Rambaldi, A.N. ve Doran, H. (1996), Testing for Granger Non-Causality In Cointegrated Systems Made Easy, Working Paper in Econometrics and Applied Statistics, No. 88, Department of Econometrics, University of New England, Armidale.
• Rogers, R. M. (1998), A Primer on Short-Term Linkages Key Economic Data Series. Federal Reserve Bank of Atlanta Economic Review, Second Quarter, s.40-54.
• Saraç, B, Karagöz, K. (2010), Türkiye’de tüketici ve üretici fiyatları arasındaki ilişki: Yapısal kırılma ve sınır testi, Maliye Dergisi, 0(159), s.220-232.
• Shahbaz, M., Awan, R. U. ve Nasir, N. M. (2009), Producer & Consumer Prices Nexus: ARDL Bounds Testing Approach, International Journal of Marketing Studies, 1(2), s.78-86.
• Shahbaz, M., Wahid, A.N. ve Haider, A. (2010), Empirical Psychology Between Wholesale Prices and Consumer Prices Indices: The Case of Pakistan, The Singapore Economic Review, 55, s.537-551.
• Shirazi, N., S. ve Manap, T., A. (2005), Export-Led Growth Hypothesis: Further Econometric Evidence from South Asia, The Developing Economies, XLIII-4, s. 472–88.
• Terzi, H. ve Tütünc, A. (2017), Türkiye’de Üretici Fiyat Endeksi ve Tüketici Fiyat Endeksi Arasındaki İlişkinin İncelenmesi: ARDL Sınır Testi Yaklaşımı, Sosyaekonomi, 25(34), s.173-186.
• Tiwari, A. K. (2012), An Empirical Investigation of Causality Between Producers' Price and Consumers' Price Indices In Australia in Frequency Domain, Economic Modelling, 29, s.1571-1578.
• Tiwari, A. K., KG, S., Arouri, M. ve Teuolan, F. (2014), Causality Between Consumer Price and Producer Price: Evidence From Mexico, Economic Modelling, 36, s.432-440.
• Tiwari, A. K., Mutascu, M. ve Andries, A. M. (2013), Decomposing Time-Frequency Relationship Between Producer Price and Consumerprice Indices in Romania Through Wavelet Analysis, Economic Modelling, 31, s.151-159.
• Toda, H.Y. ve Yamamoto, T. (1995), Statistical Inference in Vector Autoregressions With Possibly Integrated Processes, Journal of Econometrics, 66, s.225–250.
• Ulke, V. ve Ergun, U. (2014), The Relationship between Consumer Price and Producer Price Indices in Turkey, International Journal of Academic Research in Economics and Management Sciences, 3(1), s.205-222.
• Weinhagen, J. C. (2014), Comparing New Final-Demand Producer Price Indexes With Other Government Price Indexes, Monthly Labor Review, U.S. Bureau of Labor Statistics.
• Zortuk, M. (2015), Türkiye’de Tüketici ve Toptan Eşya Fiyat Endeksleri Arasındaki Nedensellik İlişkisi: 1986-2004, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi , 20, s.181-190.