TÜRKİYE EKONOMİSİNDE ENFLASYON VE ENFLASYON BELİRSİZLİĞİ ARASINDAKİ NEDENSELLİK İLİŞKİSİ İÇİN YENİ ZAMAN SERİSİ BULGULARI

Öz

Bu çalışmada, Türkiye ekonomisinde enflasyon ve enflasyon belirsizliği arasındaki ilişki çağdaş Üssel GARCH EGARCH tahmin yöntemi kullanılarak incelenmeye çalışılmaktadır. Bulgularımız enflasyonun enflasyon belirsizliğine yol açtığını göstermekte ve bu ilişkinin bilgi içeriğiyle ilgili olarak, enflasyonun koşullu varyansı geşmiş pozitif şoklara aynı büyüklükteki negatif değişikliklerden daha fazla tepki vermektedir. Enflasyon ve enflasyon belirsizliği arasındaki nedensellik çözümlemesi enflasyonun enflasyon belirsizliğinin Granger-nedeni olduğunu, diğer bir deyişle, enflasyon belirsizliğini öncelediğini ortaya koymakta, fakat ters yönlü kesin ve anlamlı bir bulgu elde edilememektedir. Ayrıca, bir vektör ardışık bağlanım yapısı içerisinde tahmin edilen genelleştirilmiş etki tepki çözümlemesi bu bulguları destekleyici sonuçlar üretmektedir

Anahtar Kelimeler

• Enflasyon , Enflasyon Belirsizliği , Granger Nedensellik Çözümlemesi , EGARCH Modellemesi , Etki Tepki Çözümlemesi

NEW TIME SERIES EVIDENCE FOR THE CAUSALITY RELATIONSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY IN THE TURKISH ECONOMY

Öz

This paper aims to investigate the relationship between inflation and inflation uncertainty in the Turkish economy by using contemporaneous Exponential GARCH EGARCH estimation methodology. Our findings indicate that inflation leads to inflation uncertainty, and dealing with the information content of this relationship, the conditional variance of inflation reacts more to past positive shocks than to negative innovations of equal size. Causality analysis between inflation and inflation uncertainty reveals that inflation Granger- causes, or in other words, precedes inflation uncertainty, but no clear-cut and significant evidence in the opposite direction can be obtained. Furthermore, generalized impulse response analysis estimated in a vector autoregressive framework yields supportive results to these findings.

Anahtar Kelimeler

• Inflation, Inflation Uncertainty, Granger Causality Analysis, EGARCH Modelling, Impulse Response Analysis

Kaynakça

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