Türkiye’de Tüketici Fiyat Endeksi Tahmini: Derin Öğrenme ve Makine Öğrenme Yaklaşımlarının Karşılaştırılması

Yıl 2024, Sayı: 36, 312 - 344, 31.05.2024

Yunus Emre Gür

https://doi.org/10.54600/igdirsosbilder.1386274

Öz

Bu çalışma, 2005 Ocak – 2023 Haziran dönemine ait aylık tüketici fiyat endeksi verileri ve 5 adet bağımsız değişken (İşsizlik Oranı, Ortalama Dolar Kuru, Üretici Fiyat Endeksi, Brent Petrol Fiyatları, İhtiyaç Kredisi Faiz Oranı) verilerini kullanarak derin öğrenme ve makine öğrenme algoritmalarının Tüketici Fiyat Endeksi (TÜFE) tahmini üzerindeki etkinliğini araştırmayı amaçlamaktadır. Bu doğrultuda, TÜFE tahmini için, Uzun ve Kısa Süreli Bellek, Geçitli Tekrarlayan Birim, Rastgele Orman, Yapay Sinir Ağı ve K-En Yakın Komşular gibi farklı derin öğrenme ve makine öğrenme modelleri kullanılmış ve tahmin performansları değerlendirilmiştir.
Sonuçlar, Geçitli Tekrarlayan Birim modelinin Uzun ve Kısa Süreli Hafıza, Rastgele Orman, Yapay Sinir Ağı ve K-En Yakın Komşular modellerinden daha başarılı olduğunu göstermiştir. Diğer dört modele kıyasla, Geçitli Tekrarlayan Birim modelinde RMSE, MSE, MAE, MAPE ve R^2 değerleri daha iyi performans göstermiştir. Ek olarak, Tüketici Fiyat Endeksi tahmininde, enflasyon alanında derin öğrenme ve makine öğrenme modellerinin etkin bir şekilde kullanılabileceği gözlemlenmiştir. Bu sonuçlar, ekonomik tahminlerin ve enflasyonun yönetilmesinin önemli bir bileşeni olan TÜFE tahmininde etkili bir yol sunmaktadır. Akademik açıdan, bu çalışma, derin öğrenme ve makine öğrenme modellerinin ekonomi ve finans alanında uygulanabilirliğini göstermektedir. Uygulamada, ekonomik ve finansal karar alıcıları için değerli bir araç sunmaktadır.

Anahtar Kelimeler

Tüketici Fiyat Endeksi Tahmini, Derin Öğrenme, Makine Öğrenimi, Geçitli Tekrarlayan Birim

Etik Beyan

Çalışma için etik kurul izni almaya gerek duyulmamıştır.

Consumer Price Index Forecasting in Turkey: A Comparison of Deep Learning and Machine Learning Approaches

Öz

Accordingly, different deep learning and machine learning models such as long- and short-term memory, temporal recurrent units, random forests, artificial neural networks, and K-nearest neighbors are used for CPI forecasting. The prediction performances of the models on the test data were evaluated with RMSE, MSE, MAE, MAPE, and R^2 error statistics.
The results show that the Gateway Recurrent Unit model outperforms the Long and Short Term Memory, Random Forest, Neural Network, and K-Nearest Neighbors models. Compared to the other four models, the RMSE, MSE, MAE, MAPE, and R^2 values performed better in the recurrent unit model. In addition, it has been observed that deep learning and machine learning models can be used effectively in the field of inflation in consumer price index forecasting. These results provide an effective method of CPI forecasting, which is an important component of economic forecasting and inflation management. From an academic perspective, this study demonstrates the applicability of deep learning and machine learning models in economics and finance. In practice, it provides a valuable tool for economic and financial decision-makers and illuminates the way for future similar studies.

Anahtar Kelimeler

Inflation Forecasting, Deep Learning, Machine Learning, Gated Recurrent Unit

Kaynakça

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