The Impact of Uncertainties on Inflation Using Time-Varying Causality Approach: Evidence from Türkiye

Öz

This paper investigates the causal relationship from uncertainties to inflation in the case of Türkiye. To that end, we first apply the constant parameter Granger causality test. Later, considering the fact that estimated coefficients can change under the presence of structural breaks, we also conduct the time-varying Granger causality analysis which allows the coefficients to differ over time. According to the results drawn from time-varying causality analysis, uncertainties in the Turkish economy have predictive powers on inflation. This result is resistant to the different selection of window sizes and employed constant or time-varying causality tests. The causal channel from uncertainties to inflation coincides with the time periods when uncertainties are at relatively lower or higher levels. Finally, inflation itself can be a source of uncertainties in the Turkish economy. The causality from inflation to uncertainties appears when severe inflation shocks occur.

Anahtar Kelimeler

• Uncertainty
• Inflation
• Causality

Belirsizliklerin Enflasyon Üzerindeki Etkisinin Zamanla Değişen Nedensellik Yöntemiyle Analizi: Türkiye Örneği

Öz

Bu çalışma, Türkiye ekonomisindeki belirsizliklerden enflasyona doğru olan ilişkiyi nedensellik analizi çerçevesinde incelemektedir. Bu amaçla, öncelikle tüm analiz dönemi içinde parametrelerin zaman içinde değişmediğini varsayan sabit parametreli Granger nedensellik testi uygulanmıştır. Daha sonra yapısal kırılmaların varlığı altında katsayıların kolayca değişebileceğinden hareketle, katsayıların zaman içinde değişmesine olanak sağlayan Zamanla Değişen Granger nedensellik analizine başvurulmuştur. Zamanla değişen nedensellik analizi sonuçlarına göre, Türkiye ekonomisindeki belirsizliklerin enflasyonu tahmin etme gücü vardır. Bu sonuç sabit parametreli veya zamanla değişen nedensellik testlerine veya seçilen farklı pencere genişliklerine göre dirençlidir. Türkiye’de belirsizliklerden enflasyona doğru hareket eden nedensellik ilişkisi, belirsizliğin görece oldukça düşük veya yüksek olduğu dönemlerde ortaya çıkmaktadır. Son olarak, enflasyon da bizzat Türkiye ekonomisindeki belirsizliklerin kaynağı olabilmektedir. Enflasyondan belirsizliklere doğru nedensellik ilişkisi ise sert enflasyon şoklarının yaşandığı periyotlarda görülmektedir.

Anahtar Kelimeler

• Belirsizlik
• Enflasyon
• Nedensellik

Kaynakça

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