Inflation and Inflation Uncertainty in Turkey: Kalman Filter Approach

Öz

In the economic literature, the discussion that expressed “inflation increases inflation uncertainty”, starting by Okun (1971) and resuming as Friedman - Ball Hypothesis, has created new discussions about the degree and the direction of the relationship between both variables. In this study, the relationship of causality between inflation and inflation uncertainty was investigated in the context of discussions in the literature, using alternative methods to get inflation uncertainty. The data used in the study are monthly and cover the period of 1980-2012 for Turkey’s economy. In this study, to get inflation uncertainty, the optimal ARIMA model was estimated by using Kalman Filter analysis technique. The relationship between inflation and inflation uncertainty was tested by using modern time-series analysises.

Anahtar Kelimeler

• Inflation
• Inflation Uncertainty
• Kalman Filter Analysis

Türkiye'de Enflasyon ve Enflasyon Belirsizliği: Kalman Filtre Yaklaşımı

Öz

Ekonomi literatüründe, Okun (1971) ile başlayan ve Friedman-Ball hipotezi olarak devam eden “enflasyon enflasyon belirsizliğini arttırmaktadır.” şeklindeki tartışma, iki değişken arasındaki ilişkinin yönü ve derecesi hakkında yeni tartışmaları beraberinde getirmiştir. Bu çalışmada enflasyon belirsizliği alternatif bir yöntemle elde edilerek, enflasyon belirsizliği ve enflasyon arasındaki olası ilişki literatürdeki teorik tartışmalar kapsamında araştırılmıştır. Çalışma Türkiye için aylık 1980-2012 dönemini kapsamaktadır. Çalışmada, enflasyon belirsizliğinin elde edilebilmesi için, Kalman Filtre analizi yöntemi kullanılarak, belirlenen en uygun ARIMA modeli tahmin edilmiştir. Enflasyon ile enflasyon belirsizliği arasındaki nedensellik ilişkisi ise, modern zaman serisi analizleriyle sınanmıştır.

Anahtar Kelimeler

• Enflasyon
• Enflasyon Belirsizliği
• Kalman Filtre Analizi

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