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

Yıl 2016, Sayı: 617, 9 - 22, 01.07.2016

Utku Utkulu Ramazan Ekinci

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

• AL-SHAWARBY, S. ve SELİM, H.; (2012). Are international food price spikes the source of Egypt’s high inflation? ERF Working Paper # 714.
• BALKE, N.S., Brown, S.P.A. ve YÜCEL, M.K.;(1998) Crude Ail and Gasoline Prices: An Asymmetric Relationship? Federal Reserve Bank of Dallas, Economic Review, First Quarter, pp. 2-11
• BAILEY, D. ve BRORSEN, B.W.; (1989). Price Asymmetry in Spatial Fed Cattle Markets, Western Journal of Agricultural Economics, 14, 246-252
• BERNANKE, B., GERTLER,M., ve M, WATSON.;(1997). Systematic Monetary Policy and the Effects of Oil Price Shocks. Brookings Papers on Economic Activity 28(1): 91-157.
• BRITO, R.D. ve BRIANNE, B.; (2010). Inflation Targeting in Emerging Economies: Panel Evidence, Journal of Development Economics 91, pp. 198–210
• BALL, L., ve MANKIW, N. G.; (1994). Asymmetric Price Adjustment and Economic Fluctuations. Economic Journal 104 (423): 247–61.
• BLANCHARD, O. J. ve J. GALÍ.; (2008). The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s? NBER Working Paper No. 13368.
• BAILEY, D. V., ve BRORSEN, B.W.; (1989). Price Asymmetry in Spatial Fed Cattle Markets. Western Journal of Agricultural Economics 14 (2): 246–52.
• CHEN, S.; (2009). Oil Price Pass-Through into Inflation, Energy Economics, Vol. 31, pp. 126–33.
• CUNADO, J. ve PEREZ DE GRACIA F.; (2005). Oil prices, economic activity and inflation: Evidence for some Asian countries. The Quarterly Review of Economics and Finance, Volume 45, Issue 1, pp. 65-83. http://dx.doi.org/10.1016/j.qref.2004.02.003
• EDELSTEIN, P. ve KILIAN L.; (2007). Retail Energy Prices and Consumer Expenditures. CEPR Discussion Papers 6255.
• ENGLE, R.F., GRANGER, C.W.J.;(1987). Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica, 55, 251–276.
• FINN, M. G.; (2014). Why are commodity prices falling? Project Syndicate. December 15, 2014
• GARDNER, B. L.;(1975). The Farm-Retail Price Spread in a Competitive Food Industry. American Journal of Agricultural Economics 57 (3): 383–406.
• GELOS, G. ve USTYUGOVA Y.;(2012). Inflation Responses to Commodity Price Shocks–How and Why Do Countries Differ? IMF Working Paper 12/225. International Monetary Fund, Washington, DC. https://www.imf.org/external/pubs/ft/wp/2012/ wp12225.pdf
• GRANGER, C.W.J., YOON,G.;(2002). Hidden Cointegration. Working Paper, University of California, San Diego
• GRANGER, C.W.J.;(1981). Cointegrating Variables and Error Correcting Models. Working Paper, Universityof California, San Diego, California.
• HABERMEIER, K., İNCİ Ö.R, LUIS J, ALESSANDROM G, KOTARO I, DAVID V, TURGUT K, ve FRANCISCO V.;(2009). Inflation Pressures and Monetary Policy Options in Emerging and Developing Countries: A Cross Regional Perspective,” IMF Working Paper 09/01 (Washington: International Monetary Fund).
• HAMILTON, J.D.;(1996). Analysis of the Transmission of Oil Price Shocks Through the Macroeconomy,” manuscript, U.C. San Diego Department of Economics.
• HAMILTON, J.D.;(1996). This is What Happened to the Oil Price-Macroeconomy Relationship, Journal of Monetary Economics, 38, pp. 215-220.
• HAMILTON, J.D.;(2009). Causes and Consequences of the Oil Shock of 2007–08 NBER Working Paper No. 15002,pp.215- 259
• HUNT, B., ISARD, P., ve LAXTON, D.;(2001). The Macroeconomic Effects of Higher Oil Prices. IMF Working Paper 01/14.
• International Monetary Fund, Washington, DC. IBRAHIM, M.H;(2015). Oil and food prices in Malaysia: a nonlinear ARDL analysis Agricultural and Food Economics, pp.2- 14
• International Monetary Fund.;(2011). World Economic Outlook,” October (Washington: International Monetary Fund).
• IANCHOVICHINA, E., LOENING, J. ve WOOD, C.; (2012).
• How Vulnerable Are Arab Countries to Global Food Price Shocks? Policy Research Working Paper # 6018.
• KATRAKILIDIS, C., TRACHANAS, E.;(2012). What Drives Housing Price Dynamics in Greece: New Evidence from Asymmetric ARDL Cointegration. Economic Modelling, 29(4), 1064- 1069.
• KILIAN, L.;(2014). Oil Price Shocks: Causes and Consequences. Annual Review of Resource Economics, Annual Reviews, vol. 6(1): 133-154.
• KILIAN, L.;(2008). The Economic Effects of Energy Price Shocks Journal of Economic Literature, American Economic Association, vol. 46(4): 871-909.
• KILIAN, L.;(2009). Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review 99(3): 1053-69.
• KILIAN, L. ve VİGFUSSON, R. J.;(2011). Nonlinearities In The Oil Price–Output Relationship, Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3): 337-363.
• MORK, K.A.;(1989). Oil and the Macroeconomy when Prices Go Up and Down: An Extension of Hamilton’s Results, Journal of Political Economy 97, 740-744
• MORK, KNUT A, OLSEN ,O ve MYSEN, H.T.;(1994). Macroeconomic Responses to Oil Price Increases ens Decreases in Seven OECD Countrier. Energy Journal, 15, pp.15-37
• MORY, J.F.;(1993). Oil Price and Economic Activity: Is the Relationship Symmetric? The Energy Journal, 14(4), pp. 151-161
• PEETERS, M. ve ALBERS, R.;(2013). Food and energy prices, government subsidies and fiscal balances in South Mediterranean countries. Development Policy Review, Volume 31, Issue 3, pp. 273-290. http://dx.doi.org/10.1111/dpr.12007
• PEDERSEN, M.;(2010). Propagation of inflationary shocks in Chile and an international comparison of propagation of shocks to food and energy prices, Working Paper No. 566, Central Bank of Chile
• PEDERSEN, M.;(2010). Propagation of inflationary shocks in Chile and an international comparison of propagation of shocks to food and energy prices, Working Paper No. 566, Central Bank of Chile.
• PESARAN, M.H., SHIN, Y.;(1999). An Autoregressive Distributed Lag Modeling Approach to Cointegrationanalysis. In: Strom, S. (Ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
• PESARAN, M.H., SHIN, Y., SMITH, R.J.;(2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289–326.
• RIGOBON, R.;(2010). “Commodity prices pass-through”, Working Paper No. 572, Central Bank of Chile
• SHAWARBY, S. A., ve SELİM, H.;(2012).Are International Food Price Spikes the Source of Egypt’s High Inflation? Policy Research Working Paper, (6177)
• SHIN, Y., YU, B., GREENWOOD-NIMMO, M.;(2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in an ARDL Framework. In: Horrace, W.C., Sickles, R.C. (Eds.), Festschrift in Honor of Peter Schmidt. Springer Science & Business Media, New York(NY), 281-314
• GREENWOOD-NIMMO M.J, SHIN Y, Van TREECK T.;(2012). The nonlinear ARDL model with multiple unknown threshold decompositions: An application to the Phillips curve in Canada. University of Melbourne, Mimeo
• ZOLI, E.;(2009). “Commodity Price Volatility, Cyclical Fluctuations, and Convergence: What is Ahead for Inflation in Emerging Europe?,” IMF Working Paper 09/41 (Washington: International Monetary Fund).