YÜKSEK ENFLASYON ENFLASYON BELİRSİZLİĞİNİ ARTIRIYOR MU?

Year 2006, Issue: 3, 1 - 22, 27.08.2011

Arş. Gör. Sabiha Oltulular , Prof. Dr. Harun Terzi

Abstract

Bu çalışmada, Türkiye ekonomisinin 1987:01-2005:06 döneminde enflasyon ve enflasyon
belirsizliği arasındaki ilişki incelenmiştir. Enflasyon belirsizliğinin ölçülmesinde EGARCH
yöntemi kullanılmıştır. Hsiao ve Granger nedensellik testlerine göre çift yönlü nedensellik
ilişkisi olmasına rağmen, Granger nedensellik testine göre enflasyon belirsizliğinden
enflasyona doğru olan nedenselliğin işareti istatistiksel olarak anlamlı olmadığı
görülmektedir. VAR analizi sonuçlarına göre de tek yönlü bir nedensellik ilişkisi mevcut ve
bu ilişkinin yönü de enflasyondan enflasyon belirsizliğine doğrudur. Kısaca enflasyonun
enflasyon belirsizliği üzerinde güçlü bir etkiye sahip olduğu görülmektedir. Granger
nedensellik testi ve VAR analizine dayanarak elde edilen sonuçlar, incelenilen bu
dönemde, Friedman-Ball hipotezini desteklemektedir

Keywords

Enflasyon, enflasyon belirsizliği, EGARCH, birim kök, nedensellik, Granger, VAR

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