DÜNYA BELİRSİZLİĞİNİN G7 VE F5 ÜLKELERİNİN ENFLASYON ORANLARI ÜZERİNDEKİ ZAMANLA DEĞİŞEN NEDENSELLİK ETKİSİ

Öz

Bu çalışma, G7 ve F5 ülkelerinde belirsizliklikten enflasyona doğru olan nedensellik ilişkisini oldukça geniş bir veri seti kullanarak analiz etmektedir. Belirsizlikleri temsilen Ahir vd. (2018) tarafından geliştirilen Dünya Belirsizlik İndeksi verisi kullanılmıştır. Bu indeks, diğer ekonomi-bazlı belirsizlik indekslerinden hem ekonomik hem de politik belirsizliği içermesi bakımından ayrılmaktadır. Kullanılan modelde yer alan parametrelerin istikrarlı olmamasından dolayı, çalışmada zamanla değişen nedensellik analizi uygulanmıştır. Elde edilen sonuçlara göre, belirsizlikler enflasyon üzerinde tahmin gücüne sahiptir. İkinci olarak, politik belirsizlikler tarafından etkilenen fiyatlar en az ekonomik belirsizlikler tarafından etkilenen fiyat değişimleri kadar etkili olabilmektedir. Bu sonuca göre, istikrarlı bir politik çevre de enflasyon ile mücadelede gerekli olmaktadır. Üçüncü olarak, politika yapıcılar belirsizlik kaynağını başarılı şekilde tanımlayıp bunlara ilişkin politikalar geliştirseler dahi, belirsizliklerin yayılma özellikleri nedeniyle enflasyon ile mücadele yine de zor bir görev olabilmektedir. Son olarak, G7 ülkelerinde gözlemlenen nedensellik ilişkisi, nedensellik dönemlerinin F5 ülkelerine göre daha fazla sayıda olması nedeniyle daha güçlüdür. Bu sonuç, belirsizliklerin farklı gelişme evrelerinde farklı fiyat cevapları ürettiğini ortaya koymaktadır.

Anahtar Kelimeler

• Dünya Belirsizliği
• Enflasyon
• Zamanla Değişen Nedensellik

TIME-VARYING CAUSALITY IMPACT OF WORLD UNCERTAINTY ON G7 AND F5 COUNTRIES’ INFLATION RATES

Abstract

Our study explores the causality relationship running from uncertainties to inflation in both G7 and F5 countries by using the largest data set available. We employ World Uncertainty Index (WUI) developed by Ahir et al. (2018) to represent uncertainties. This index differs from other economy-related uncertainties as it is constructed from both major political and economic developments. Since our model parameters are shown to be not stable, we perform time-varying causality analysis. Our results suggest that uncertainties have predictive power on inflation. Second, we also conclude that uncertainties associated with political developments produce price changes at least as much as uncertainties driven by economic developments. This evidence reveals that a stable political environment is also required to reduce inflation rates. Third, even though policy makers successfully recognize the source of uncertainty and conduct national policies against them, reducing inflation rates still can be challenging task for policy makers due to spillover impacts of uncertainties. Finally, causal relationship is more robust in G7 countries as the number of detected causal episodes in G7 countries is substantially higher than F5 countries. This result also implies that changes in uncertainties at different development stages can produce different price responses.

Keywords

• World Uncertainty
• Inflation
• Time-varying Causality

Kaynakça

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