Investigation of Inflation Inertia in Turkey by Asymmetrical Methods

Öz

One of the most important problems in front of developing economies is inflation, which is increasing, and its increase is permanent. This condition, called inflation inertia, creates deterioration in the inflation expectations of economic agents. The continuity of inflation, which also causes pricing behavior to deteriorate, narrows the policy area of the monetary authority and creates a serious obstacle to solving economic problems. Inflation inertia is examined using three nonlinear unit root tests in this study for Turkey, which suffers much more internal and external shocks than any ordinary developing economy. While two of these unit root tests consider a single structural change observed in the economic time series, the other one models multiple structural changes using the Fourier wave function. The study covers the period of January 2002 - March 2022. This study which also uses the rolling windows sampling method detects inflation stickiness periods in the last 10 years. According to the results of the analysis, it is emphasized that unit root tests considering a single structural change remained dysfunctional for Turkey, and the periods in which inertia was observed are interpreted in the economic framework.

Anahtar Kelimeler

• Inflation Inertia
• Inflation Dynamics
• Unit Root Tests

Türkiye’de Enflasyon Yapışkanlığının Asimetrik Yöntemler ile İncelenmesi

Öz

Gelişmekte olan ekonomilerin önündeki en önemli problemlerden biri artan ve artışı hareketi kalıcı olan enflasyondur. Enflasyon yapışkanlığı olarak adlandırılan bu durum iktisadi ajanların enflasyon beklentilerinde bozulma meydana getirmektedir. Fiyatlama davranışının da bozulmasına sebep olan enflasyon sürekliliği para otoritesinin politika alanını daraltarak iktisadi problemlerin çözümü önünde ciddi bir engel oluşturmaktadır. Sıradan bir gelişmekte olan ekonomiye göre çok daha fazla iç ve dış şoklara maruz kalan Türkiye için bu çalışmada üç doğrusal olmayan birim kök sınaması kullanılarak enflasyon yapışkanlığı incelenmiştir. Bu birim kök sınamalarından ikisi iktisadi zaman serilerinde gözlenen tek bir yapısal değişimi dikkate alıyorken, diğeri Fourier dalga fonksiyonundan faydalanarak birden fazla yapısal değişimi modellemektedir. Ocak 2002-Mart 2022 dönemini kapsayan bu çalışmada, doğrusal olmayan birim kök sınamalarının ayrıca Rolling Windows örnekleme yöntemi ile de kullanıldığı çalışmada Türkiye’nin son 10 yılında enflasyon yapışkanlığı yaşanan dönemler tespit edilmiştir. Analiz sonuçlarına göre tek bir yapısal değişimi dikkate alan birim kök sınamalarının Türkiye için işlevsiz kaldığı vurgulanmış, yapışkanlığın gözlendiği dönemler iktisadi çerçevede yorumlanmıştır.

Anahtar Kelimeler

• Enflasyon Yapışkanlığı
• Enflasyon Dinamikleri
• Birim Kök Testleri

Kaynakça

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