Persistence of inflation and long term memory in Turkiye

Yıl 2025, Cilt: 11 Sayı: 1, 65 - 78, 28.02.2025

Ömer Tanju Durusoy

https://doi.org/10.30855/gjeb.2025.11.1.004

Öz

This article examines the persistence of inflation in Turkey using an inflation series derived from quarterly Consumer Price Index data between 1955 and 2024. It is thought that Turkey's inflation experience inherently contains inertia, and therefore, persistence in the inflation series might be possible. Whether this is possible or not is estimated using ARFIMA, FIGARCH, and APARCH models. In other words, the existence of inertia in inflation and, if it exists, its magnitude are analyzed. The estimation results indicate that there is no significant persistence in the inflation series. Additionally, findings from the APARCH model show that negative shocks have a more lasting impact on inflation uncertainty compared to positive shocks. However, the effects of shocks on the inflation series are not long-term. In other words, rapid dissipation resulting in low levels of inflation uncertainty is observed.

Anahtar Kelimeler

Inflation, Persistence, ARFIMA, FIGARCH, APARCH

Türkiye’de enflasyonun kalıcılığı ve uzun dönem hafıza

Öz

Bu makalede, 1955-2024 yılları arasındaki üç aylık Tüketici Fiyat Endeksi verilerinden elde edilmiş enflasyon serisi kullanarak Türkiye'de enflasyonun kalıcılığını incelenmektedir. Türkiye'deki enflasyon tecrübesinin bünyesinde atalet barındırdığı ve dolayısıyla enflasyon serisinde gözlenebilecek bir kalıcılığın mümkün olabileceği düşünülmektedir. Bunun mümkün olup olmadığı ARFIMA, FIGARCH ve APARCH modelleri kullanılarak tahmin edilmektedir. Başka bir ifadeyle enflasyonda ataletin var olup olmadığı var ise bunun büyüklüğü analiz edilmiştir. Tahmin sonuçları enflasyon serisinde anlamlı bir kalıcılığın olmadığını göstermektedir. Ayrıca, APARCH modelinden elde edilen bulgular pozitif şoklara nazaran negatif şokların enflasyon belirsizliği üzerinde daha kalıcı etkiye sahip olduğunu göstermektedir. Ancak enflasyon serisi üzerinde şokların etkisi uzun süreli değildir. Diğer bir ifade ile düşük miktarda enflasyon belirsizliği ile sonuçlanan hızlı sönümlenme karşımıza çıkmaktadır.

Anahtar Kelimeler

Enflasyon, Kalıcılık, ARFIMA, FIGARCH, APARCH

Etik Beyan

Bu araştırma makalesi için Etik Kurul İznine ya da yasal izne gerek yoktur.

Kaynakça

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