TÜRKİYE EKONOMİSİNDE ENFLASYON FARKI, DÖVİZ KURU VE PETROL FİYATLARI ARASINDAKİ DİNAMİK İLİŞKİLER: FOURIER-ADF VE ARDL SINIR TESTİ YAKLAŞIMI

Öz

Bu çalışma, 1995–2024 dönemini kapsayan yıllık verileri kullanarak Türkiye ile OECD ülkeleri arasındaki enflasyon farkının temel makroekonomik belirleyicilerini ampirik olarak incelemektedir. Örneklem dönemi boyunca Türkiye ekonomisinde gözlenen yapısal dönüşümler dikkate alınarak, serilerin durağanlık özellikleri, trigonometrik terimler aracılığıyla yumuşak yapısal değişimleri yakalayabilen Fourier-ADF birim kök testi ile analiz edilmiştir. Değişkenler arasındaki uzun dönemli ilişkiler, ARDL sınır testi yaklaşımı ve Hata Düzeltme Modeli (ECM) çerçevesinde araştırılmıştır. Bulgular; enflasyon farkı, reel efektif döviz kuru (REER), küresel petrol fiyatları ve reel ekonomik aktivite arasında istatistiksel olarak anlamlı bir uzun dönem seviye ilişkisi olduğunu göstermektedir. Uzun dönem katsayı tahminleri, REER hareketlerinin enflasyon farkının baskın belirleyicisi olduğunu ortaya koymaktadır. Petrol fiyatlarının negatif uzun dönem katsayısı, enerji şoklarının farklılaşan etkileri bağlamında yorumlanmış; bu şokların örneklem döneminde OECD enflasyon dinamiklerine Türkiye enflasyonuna kıyasla daha güçlü yansıdığı ve dolayısıyla farkı daralttığı sonucuna varılmıştır. Ayrıca, döviz kuru geçişkenliğinin doğasını değerlendirmek amacıyla yapılan Doğrusal Olmayan ARDL (NARDL) analizi, uzun dönemli simetri boş hipotezinin reddedilemediğini (Wald testi, p = 0,458) göstermiştir; bu durum döviz kuru şoklarının uzun dönemde enflasyon farkı üzerinde simetrik etkiler yarattığına işaret etmektedir. ARDL-ECM dönüşümünden elde edilen uyum hızı (λ = - 0,42978), uzun dönem dengesinden meydana gelen sapmaların yaklaşık %43'ünün takip eden yıl içinde düzeltildiğini kanıtlamaktadır. Genel olarak bulgular, döviz kuru istikrarının Türkiye'de sürdürülebilir fiyat istikrarının sağlanmasında ve OECD ortalamalarına yakınsamada önemli bir nominal çapa işlevi görebileceğini vurgulamaktadır.

Anahtar Kelimeler

• Enflasyon farkı
• Döviz kuru geçişkenliği
• Fourier ADF

DYNAMIC RELATIONSHIPS AMONG THE INFLATION DIFFERENTIAL, EXCHANGE RATE, AND OIL PRICES IN TÜRKİYE: A FOURIER-ADF UNIT ROOT TEST AND ARDL BOUNDS TESTING APPROACH

Öz

This study empirically investigates the primary macroeconomic determinants of the inflation differential between Türkiye and OECD countries using annual data covering the 1995–2024 period. Considering the structural transformations observed in the Turkish economy throughout the sample period, the stationarity properties of the series are analyzed via the Fourier ADF unit root test, which captures smooth structural shifts through trigonometric terms. The long run level relationships among variables are examined within the framework of the ARDL bounds testing approach. The findings indicate the existence of a statistically significant long run level relationship among the inflation differential, the real effective exchange rate (REER), global oil prices, and real economic activity. Long run coefficient estimates reveal that movements in the REER are the dominant determinant of the inflation gap. The negative long run coefficient of oil prices is interpreted within the context of the differential impact of energy shocks, which appear to have been transmitted more strongly to OECD inflation dynamics than to inflation in Türkiye over the sample period, thereby narrowing the gap. Furthermore, to assess the nature of exchange rate pass through, Nonlinear ARDL (NARDL) analysis is employed, revealing that the null hypothesis of long run symmetry cannot be rejected (Wald test, p = 0.458), which indicates that exchange rate shocks exert symmetric effects on the inflation differential in the long run. The estimated shock dissipation rate derived from the lagged dependent variable coefficient (λ = −0.43) indicates that approximately 43% of deviations from the inflation differential are eliminated within the following year, reflecting a tendency toward mean reversion. Overall, the findings underscore that exchange rate stability may serve as an important nominal anchor for achieving sustainable price stability and convergence toward OECD averages in Türkiye.

Anahtar Kelimeler

• Inflation Differential
• Exchange pass - through
• Fourier ADF

Kaynakça

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