INVESTIGATING OF PERSISTENCE IN CORE, FOOD AND ENERGY INFLATIONS: AN EVIDENCE FROM TIME-VARYING APPROACH

Yıl 2024, Cilt: 25 Sayı: 1, 77 - 91, 20.12.2023

Elif Erer

https://doi.org/10.31671/doujournal.1256284

Öz

This study examines how inflation persistence evolves over time in Euro Area, the UK, the US, and OECD countries over the period of 1999:07-2021:09. We consider the persistence of core, energy, and food inflation, as well total inflation. Using an ARMA(1,1) model with time-varying autoregressive parameters based on the Kalman filter (TV-AR), we find that inflation persistence increases significantly during crisis periods and total persistence peaks during the COVID-19 pandemic. However, the persistence of energy inflation decreases due to the economic slowdown during the COVID-19 pandemic. These results highlight how inflation persistence is related to monetary policy objectives and conduct. The findings indicate that the various measures taken by the governments such as containment and closure policies, and travel restrictions to prevent the spread of COVID-19 cause to increase in total and food inflation persistences. Energy inflation persistence declines due to a slowdown in production during COVID-19.

Anahtar Kelimeler

Inflation, Inflation Persistence, Political Economy, Time-Varying Model

ÇEKİRDEK, GIDA VE ENERJİ ENFLASYONLARINDA KALICILIĞIN ARAŞTIRILMASI: ZAMANLA DEĞİŞEN YAKLAŞIMDAN BİR KANIT

Öz

Bu çalışmada 1999:07-2021:09 döneminde Avrupa Bölgesi, İngiltere, Amerika ve OECD ülkelerinde zamanla değişen enflasyon kalıcılığını incelenmektedir. Çalışmada, toplam enflasyonun yanında çekirdek, enerji ve gıda enflasyonları da dikkate alınmıştır. Kalman filtresine dayalı zamanla değişen otoregresif parametreli ARMA (1,1) modeli (TV-AR) kullanılan çalışmadan elde edilen bulgulara göre, kriz dönemlerinde enflasyon kalıcılığının arttığını ve COVID-19 pandemisi döneminde toplam enflasyonun zirve yaptığı sonucuna ulaşılmıştır. Bununla birlikte, COVID-19 pandemisi döneminde ekonomik yavaşlama nedeniyle enerji enflasyonu kalıcılığı azalmaktadır. Bu sonuçlar, enflasyon kalıcılığının para politikasının amaçları ile ilişkili olduğunu göstermektedir. Ayrıca, COVID-19 pandemisinin yayılımını önlemek amacıyla seyahat kısıtlamaları, kapanmalar gibi devletler tarafından alınan çeşitli önlemler toplam ve gıda enflasyon kalıcılıklarının artmasına neden olduğu tespit edilmiştir. Enerji enflasyon kalıcılığı ise COVID-19 döneminde üretimdeki yavaşlamadan dolayı azaldığı belirlenmiştir.

Anahtar Kelimeler

Enflasyon, Enflasyon Kalıcılığı, Politik Ekonomi, Zamanla Değişen Model

Kaynakça

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