Uluslararası Petrol ve Gıda Fiyatlarından İç Fiyatlara Asimetrik ve Doğrusal Olmayan Fiyat Geçişkenliği: Türkiye İçin NARDL Modeli Bulguları

Öz

Bu çalışmanın amacı uluslararası emtia piyasalarından (petrol ve gıda) kaynaklanan asimetrik ve doğrusal olmayan fiyat hareketlerinin iç fiyatlara geçişkenliğini Türkiye için ölçmektir. Bu amaçla 2003M02-2015M02 dönemine ait aylık bazda (145 gözlem) çeşitli uluslararası emtia fiyatları (petrol ve gıda fiyatları) ve iç fiyatları temsilen tüketici fiyat endeksleri ele alınmıştır. Çalışmanın ekonometrik tahminlemesinde yakın zamanda geliştirilen Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif (NARDL) Modeli kullanılmıştır. Böylece uluslararası emtia fiyatlarının pozitif ve negatif “Kısmi Ayrıştırma Toplamları” kullanılarak kısa ve uzun dönem doğrusalsızlık ve asimetrik etkiler eşanlı olarak test edilmektedir. Elde edilen sonuçlara göre uluslararası petrol ve gıda fiyatlarından yurtiçi enflasyon oranlarına doğru asimetrik bir fiyat geçişkenliğinin olduğu sonucuna varılmıştır. Öte yandan, pozitif ve negatif uluslararası emtia fiyat şoklarına karşı iç fiyatların verdiği kısmi tepkiler “Asimetrik Dinamik Hızlandıran” yaklaşımı kullanılarak ölçülmektedir. Buna göre yurtiçi enflasyon oranlarının petrol ve gıda fiyat şoklarına verdiği tepki asimetrik ve sırasıyla 20 ve 15 ay olduğu görülmüştür.

Anahtar Kelimeler

• Uluslararası emtia fiyat şokları,NARDL Modeli,asimetrik geçişkenlik.

Asymmetric and Nonlinear Pass-Through of International Oil and Food Prices to Domestic Prices: NARDL Model Evidence for Turkey

Öz

The aim of this paper is to measure asymmetric and nonlinear pass-through of international commodity prices (oil and food) to domestic prices in Turkey. For this purpose, monthly data for international oil and food prices and domestic consumer price index for the period 2003M02-2015M02 (145 observations) is used. The econometric estimation is based on the recently developed NARDL Model. This model offers a proper possibility to simultaneously test the short and longrun nonlinearity through positive and negative “Partial Sum Decompositions” of the international commodity prices to domestic prices. According to our findings, we have concluded that there is a pass-through from international oil and food prices to domestic prices or inflation in an asymmetrical sense. The NARDL Model, in hand, also allows us to quantify the respective responses of the internal prices to positive and negative commodity price shocks from the “Asymmetric Dynamic Multipliers”. We have found that domestic inflation rates’ response to international oil and food prices is asymmetrical respectively in 20-month and 15-month periods.

Anahtar Kelimeler

• International commodity price shocks,NARDL Model,asymmetric pass-through.

Kaynakça

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