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ANALYZING OF TIME VARYING RELATINSHIP BETWEEN INFLATION AND INFLATION UNCERTAINTY: A CASE OF TURKEY

Yıl 2023, Cilt: 24 Sayı: 1, 255 - 272, 22.01.2023
https://doi.org/10.31671/doujournal.1179508

Öz

Inflation uncertainty is one of the most important costs for the real economy. A rise of inflation causes deterioration in pricing behavior, which leads to decrease of investments and welfare loss. Therefore, the relationship between inflation and inflation uncertainty is an important factor in determination of monetary policies performed by central banks. For this reason, this study examines the causality relationship between inflation and inflation uncertainty in framework of a time varying approach in Turkey during the period of 1997 January-February 2022. Inflation uncertainty is measured by Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. Time varying Granger causality is used to analyze so-called relationship. The findings show there is a bidirectional Granger causality relationship between inflation and inflation uncertainty in 2008. Besides, it is found that inflation uncertainty increases inflation in 2020. These results mean that Friedman-Ball and Cukierman-Meltzer hypotheses are valid in Turkey.

Kaynakça

  • Apergis, N. (2004). Inflation, output growth, volatility and causality: evidence from panel data and the G7 countries. Economics letters, 83(2), 185-191.
  • Apergis, N., Bulut, U., Ucler, G., & Ozsahin, S. (2021). The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey. The Manchester School, 89(3), 259-275.
  • Balcilar, M., Ozdemir, Z. A., & Cakan, E. (2011). On the nonlinear causality between inflation and inflation uncertainty in the G3 countries. Journal of Applied Economics, 14(2), 269-296.
  • Balcilar, M., Ozdemir, Z. A., & Cakan, E. (2011). On the nonlinear causality between inflation and inflation uncertainty in the G3 countries. Journal of Applied Economics, 14(2), 269-296.
  • Ball, L. (1992). Why does high inflation raise inflation uncertainty?. Journal of Monetary Economics, 29(3), 371-388.
  • Barnett, W. A., Jawadi, F., & Ftiti, Z. (2020). Causal relationships between inflation and inflation uncertainty. Studies in Nonlinear Dynamics & Econometrics, 24(5).
  • Berument, H., Yalcin, Y., & Yildirim, J. (2009). The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework. Economic Modelling, 26(6), 1201-1207.
  • Berument, M. H., Yalcin, Y., & Yildirim, J. O. (2011). The inflation and inflation uncertainty relationship for Turkey: a dynamic framework. Empirical Economics, 41(2), 293-309.
  • Bhar, R., & Mallik, G. (2010). Inflation, inflation uncertainty and output growth in the USA. Physica A: Statistical Mechanics and its Applications, 389(23), 5503-5510.
  • Buth, B., Kakinaka, M., & Miyamoto, H. (2015). Inflation and inflation uncertainty: The case of Cambodia, Lao PDR, and Vietnam. Journal of Asian Economics, 38, 31-43.
  • Chang, K. L. (2012). The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty. Journal of Macroeconomics, 34(2), 523-536.
  • Chen, S. W., Shen, C. H., & Xie, Z. (2008). Evidence of a nonlinear relationship between inflation and inflation uncertainty: The case of the four little dragons. Journal of Policy Modeling, 30(2), 363-376.
  • Cukierman, A., & Meltzer, A. H. (1986). A theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica: journal of the econometric society, 1099-1128.
  • De Bruin, W. B., Manski, C. F., Topa, G., & Van Der Klaauw, W. (2011). Measuring consumer uncertainty about future inflation. Journal of Applied Econometrics, 26(3), 454-478.
  • Doğru, B. (2013). Farklı para politikası rejimlerinde enflasyon belirsizliği ve enflasyon ilişkisi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 7(2), 77-99.
  • Elder, J. (2004). Another perspective on the effects of inflation uncertainty. Journal of Money, Credit and Banking, 911-928.
  • Erkam, S. (2008). Enflasyon ve Enflasyon Belirsizliği: Türkiye Örneği. Sosyoekonomi, 7(7).
  • Fountas, S. (2010). Inflation, inflation uncertainty and growth: Are they related?. Economic Modelling, 27(5), 896-899.
  • Fountas, S. (2010). Inflation, inflation uncertainty and growth: Are they related?. Economic Modelling, 27(5), 896-899.
  • Fountas, S., Ioannidis, A., & Karanasos, M. (2004). Inflation, inflation uncertainty and a common European monetary policy. The Manchester School, 72(2), 221-242.
  • Friedman, M. (1977). Nobel lecture: inflation and unemployment. Journal of political economy, 85(3), 451-472.
  • Golob, J. E. (1994). Does inflation uncertainty increase with inflation?. Economic Review-Federal Reserve Bank of Kansas City, 79, 27-27.
  • Grier, K. B., & Perry, M. J. (1998). On inflation and inflation uncertainty in the G7 countries. Journal of International Money and Finance, 17(4), 671-689.
  • Grier, K. B., & Perry, M. J. (2000). The effects of real and nominal uncertainty on inflation and output growth: some garch‐m evidence. Journal of applied econometrics, 15(1), 45-58.
  • Gülşen, E., & Kara, H. (2019). Measuring inflation uncertainty in Turkey. Central Bank Review, 19(2), 33-43.
  • Hajamini, M. (2019). Asymmetric causality between inflation and uncertainty: Evidences from 33 developed and developing countries. Journal of Quantitative Economics, 17(2), 287-309.
  • Hasanov, M., & Omay, T. (2011). The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries. Emerging Markets Finance and Trade, 47(sup3), 5-20.
  • Holland, A. S. (1995). Inflation and uncertainty: tests for temporal ordering. Journal of Money, Credit and Banking, 27(3), 827-837.
  • Hou, C. (2020). Time‐varying relationship between inflation and inflation uncertainty. Oxford Bulletin of Economics and Statistics, 82(1), 83-124. Hwang, Y. (2007). Causality between inflation and real growth. Economics Letters, 94(1), 146-153.
  • Karahan, Ö. (2012). The relationship between inflation and inflation uncertainty: evidence from the Turkish economy. Procedia economics and finance, 1, 219-228.
  • Kontonikas, A. (2004). Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling. Economic modelling, 21(3), 525-543.
  • Lawton, N., & Gallagher, L. A. (2020). The negative side of inflation targeting: revisiting inflation uncertainty in the EMU. Applied Economics, 52(29), 3186-3203.
  • M. Friedman, Nobel lecture: Inflation and unemployment, J. Polit. Econ. 85 (1977), pp. 451–472.
  • Mahmood, W. M., & Asimakopoulos, I. (2007). Nonlinear dependence and conditional heteroscedasticity: A notes from Malaysian daily stock returns. Available at SSRN 980890.
  • Nas, T. F., & Perry, M. J. (2000). Inflation, inflation uncertainty, and monetary policy in Turkey: 1960–1998. Contemporary Economic Policy, 18(2), 170-180.
  • Özdemir, Z. A., & Fisunoğlu, M. (2008). On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: A long memory approach. International Review of Economics & Finance, 17(1), 1-12.
  • Pintilescu, C., Jemna, D. V., Viorică, E. D., & Asandului, M. (2014). Inflation, output growth, and their uncertainties: Empirical evidence for a causal relationship from European emerging economies. Emerging Markets Finance and Trade, 50(sup4), 78-94.
  • Pourgerami, A., & Maskus, K. E. (1987). The effects of inflation on the predictability of price changes in Latin America: some estimates and policy implications. World development, 15(2), 287-290.
  • S. Fischer, The role of macroeconomic factors in growth, J. Monet. Econ. 32 (1993), pp. 485–512
  • TCMB (2020). Electronic data delivery system. https://evds2.tcmb.gov.tr/
  • TCMB (2021) Finansal İstikrar raporu kasım 2021. https://www.tcmb.gov.tr/
  • TCMB (2022) Enflasyon raporu 2022. https://www.tcmb.gov.tr/
  • TCMB Enflasyon ve Fiyat İstikrarı Raporu (2013). https://www.tcmb.gov.tr/
  • Varlik, S., Ulke, V., & Berument, H. (2017). The time-varying effect of inflation uncertainty on inflation for Turkey. Applied Economics Letters, 24(13), 961-967.

ENFLASYON VE ENFLASYON BELİRSİZLİĞİ ARASINDAKİ ZAMANLA DEĞİŞEN İLİŞKİNİN ANALİZİ: TÜRKİYE ÖRNEĞİ

Yıl 2023, Cilt: 24 Sayı: 1, 255 - 272, 22.01.2023
https://doi.org/10.31671/doujournal.1179508

Öz

Enflasyon belirsizliği, reel ekonomi için enflasyonun en önemli maliyetlerinden birini temsil etmektedir. Enflasyon belirsizliğinin yükselmesi, fiyatlama davranışlarını bozulmasına neden olarak, yatırımların ertelenmesine ve refah kaybına yol açmaktadır. Enflasyon ve enflasyon belirsizliği, bir ekonomideki finansal istikrara ilişkin temel göstergelerdir. Bundan dolayı, enflasyon ve enflasyon belirsizliği arasındaki ilişki merkez bankalarının para politikaları uygulamalarında dikkate aldıkları önemli bir faktördür. Bu doğrultuda, bu çalışmada Türkiye’de Ocak 1997 - Şubat 2022 döneminde enflasyon ve enflasyon belirsizliği arasındaki nedensellik ilişkisi zamanla değişen yaklaşım çerçevesinde analiz edilmiştir. Çalışmada enflasyon belirsizliğini ölçmek amacıyla Genelleştirilmiş Otoregresif Koşullu Değişen Varyans (GARCH) modelinden yararlanılmıştır. Enflasyon ve enflasyon belirsizliği arasındaki ilişkinin incelenmesinde ise zamanla değişen Granger nedensellik analizinden yararlanılmıştır. Çalışmanın sonucunde elde edilen bulgular, 2008 yılında enflasyon ve enflasyon belirsizliği arasında çift yönlü bir Granger nedensellik ilişkisinin varlığını göstermektedir. 2020 yılında ise enflasyon belirsizliğinin enflasyonu arttırdığı tespit edilmiştir. Elde edilen bu sonuçlar, Türkiye’de ilgili dönemde Friedman-Ball ve Cukierman-Meltzer hipotezlerinin geçerli olduğunu göstermektedir.

Kaynakça

  • Apergis, N. (2004). Inflation, output growth, volatility and causality: evidence from panel data and the G7 countries. Economics letters, 83(2), 185-191.
  • Apergis, N., Bulut, U., Ucler, G., & Ozsahin, S. (2021). The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey. The Manchester School, 89(3), 259-275.
  • Balcilar, M., Ozdemir, Z. A., & Cakan, E. (2011). On the nonlinear causality between inflation and inflation uncertainty in the G3 countries. Journal of Applied Economics, 14(2), 269-296.
  • Balcilar, M., Ozdemir, Z. A., & Cakan, E. (2011). On the nonlinear causality between inflation and inflation uncertainty in the G3 countries. Journal of Applied Economics, 14(2), 269-296.
  • Ball, L. (1992). Why does high inflation raise inflation uncertainty?. Journal of Monetary Economics, 29(3), 371-388.
  • Barnett, W. A., Jawadi, F., & Ftiti, Z. (2020). Causal relationships between inflation and inflation uncertainty. Studies in Nonlinear Dynamics & Econometrics, 24(5).
  • Berument, H., Yalcin, Y., & Yildirim, J. (2009). The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework. Economic Modelling, 26(6), 1201-1207.
  • Berument, M. H., Yalcin, Y., & Yildirim, J. O. (2011). The inflation and inflation uncertainty relationship for Turkey: a dynamic framework. Empirical Economics, 41(2), 293-309.
  • Bhar, R., & Mallik, G. (2010). Inflation, inflation uncertainty and output growth in the USA. Physica A: Statistical Mechanics and its Applications, 389(23), 5503-5510.
  • Buth, B., Kakinaka, M., & Miyamoto, H. (2015). Inflation and inflation uncertainty: The case of Cambodia, Lao PDR, and Vietnam. Journal of Asian Economics, 38, 31-43.
  • Chang, K. L. (2012). The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty. Journal of Macroeconomics, 34(2), 523-536.
  • Chen, S. W., Shen, C. H., & Xie, Z. (2008). Evidence of a nonlinear relationship between inflation and inflation uncertainty: The case of the four little dragons. Journal of Policy Modeling, 30(2), 363-376.
  • Cukierman, A., & Meltzer, A. H. (1986). A theory of ambiguity, credibility, and inflation under discretion and asymmetric information. Econometrica: journal of the econometric society, 1099-1128.
  • De Bruin, W. B., Manski, C. F., Topa, G., & Van Der Klaauw, W. (2011). Measuring consumer uncertainty about future inflation. Journal of Applied Econometrics, 26(3), 454-478.
  • Doğru, B. (2013). Farklı para politikası rejimlerinde enflasyon belirsizliği ve enflasyon ilişkisi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 7(2), 77-99.
  • Elder, J. (2004). Another perspective on the effects of inflation uncertainty. Journal of Money, Credit and Banking, 911-928.
  • Erkam, S. (2008). Enflasyon ve Enflasyon Belirsizliği: Türkiye Örneği. Sosyoekonomi, 7(7).
  • Fountas, S. (2010). Inflation, inflation uncertainty and growth: Are they related?. Economic Modelling, 27(5), 896-899.
  • Fountas, S. (2010). Inflation, inflation uncertainty and growth: Are they related?. Economic Modelling, 27(5), 896-899.
  • Fountas, S., Ioannidis, A., & Karanasos, M. (2004). Inflation, inflation uncertainty and a common European monetary policy. The Manchester School, 72(2), 221-242.
  • Friedman, M. (1977). Nobel lecture: inflation and unemployment. Journal of political economy, 85(3), 451-472.
  • Golob, J. E. (1994). Does inflation uncertainty increase with inflation?. Economic Review-Federal Reserve Bank of Kansas City, 79, 27-27.
  • Grier, K. B., & Perry, M. J. (1998). On inflation and inflation uncertainty in the G7 countries. Journal of International Money and Finance, 17(4), 671-689.
  • Grier, K. B., & Perry, M. J. (2000). The effects of real and nominal uncertainty on inflation and output growth: some garch‐m evidence. Journal of applied econometrics, 15(1), 45-58.
  • Gülşen, E., & Kara, H. (2019). Measuring inflation uncertainty in Turkey. Central Bank Review, 19(2), 33-43.
  • Hajamini, M. (2019). Asymmetric causality between inflation and uncertainty: Evidences from 33 developed and developing countries. Journal of Quantitative Economics, 17(2), 287-309.
  • Hasanov, M., & Omay, T. (2011). The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries. Emerging Markets Finance and Trade, 47(sup3), 5-20.
  • Holland, A. S. (1995). Inflation and uncertainty: tests for temporal ordering. Journal of Money, Credit and Banking, 27(3), 827-837.
  • Hou, C. (2020). Time‐varying relationship between inflation and inflation uncertainty. Oxford Bulletin of Economics and Statistics, 82(1), 83-124. Hwang, Y. (2007). Causality between inflation and real growth. Economics Letters, 94(1), 146-153.
  • Karahan, Ö. (2012). The relationship between inflation and inflation uncertainty: evidence from the Turkish economy. Procedia economics and finance, 1, 219-228.
  • Kontonikas, A. (2004). Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling. Economic modelling, 21(3), 525-543.
  • Lawton, N., & Gallagher, L. A. (2020). The negative side of inflation targeting: revisiting inflation uncertainty in the EMU. Applied Economics, 52(29), 3186-3203.
  • M. Friedman, Nobel lecture: Inflation and unemployment, J. Polit. Econ. 85 (1977), pp. 451–472.
  • Mahmood, W. M., & Asimakopoulos, I. (2007). Nonlinear dependence and conditional heteroscedasticity: A notes from Malaysian daily stock returns. Available at SSRN 980890.
  • Nas, T. F., & Perry, M. J. (2000). Inflation, inflation uncertainty, and monetary policy in Turkey: 1960–1998. Contemporary Economic Policy, 18(2), 170-180.
  • Özdemir, Z. A., & Fisunoğlu, M. (2008). On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: A long memory approach. International Review of Economics & Finance, 17(1), 1-12.
  • Pintilescu, C., Jemna, D. V., Viorică, E. D., & Asandului, M. (2014). Inflation, output growth, and their uncertainties: Empirical evidence for a causal relationship from European emerging economies. Emerging Markets Finance and Trade, 50(sup4), 78-94.
  • Pourgerami, A., & Maskus, K. E. (1987). The effects of inflation on the predictability of price changes in Latin America: some estimates and policy implications. World development, 15(2), 287-290.
  • S. Fischer, The role of macroeconomic factors in growth, J. Monet. Econ. 32 (1993), pp. 485–512
  • TCMB (2020). Electronic data delivery system. https://evds2.tcmb.gov.tr/
  • TCMB (2021) Finansal İstikrar raporu kasım 2021. https://www.tcmb.gov.tr/
  • TCMB (2022) Enflasyon raporu 2022. https://www.tcmb.gov.tr/
  • TCMB Enflasyon ve Fiyat İstikrarı Raporu (2013). https://www.tcmb.gov.tr/
  • Varlik, S., Ulke, V., & Berument, H. (2017). The time-varying effect of inflation uncertainty on inflation for Turkey. Applied Economics Letters, 24(13), 961-967.
Toplam 44 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm Araştırma Makalesi
Yazarlar

Deniz Erer 0000-0001-9977-9592

Yayımlanma Tarihi 22 Ocak 2023
Gönderilme Tarihi 23 Eylül 2022
Yayımlandığı Sayı Yıl 2023 Cilt: 24 Sayı: 1

Kaynak Göster

APA Erer, D. (2023). ENFLASYON VE ENFLASYON BELİRSİZLİĞİ ARASINDAKİ ZAMANLA DEĞİŞEN İLİŞKİNİN ANALİZİ: TÜRKİYE ÖRNEĞİ. Doğuş Üniversitesi Dergisi, 24(1), 255-272. https://doi.org/10.31671/doujournal.1179508