STOCHASTIC DETERMINANTS OF INFLATION: A NARDL APPROACH FOR TURKISH ECONOMY

Yıl 2018, , 57 - 74, 26.10.2018

Mahmut Şaban Afsal , İbrahim Doğan , Emre Örün Bayram Aydın

https://doi.org/10.15637/jlecon.261

Öz

In the economic literature, there is no consensus on the direction of the relationship between interest and inflation in the context of economic policies. In addition to the recent high inflation rates in the Turkish economy, nominal interest rates also have an increasing trend. Therefore, the relationship between inflation and nominal interest rates was examined as asymmetrical for the Turkish economy in the study. At this point, the nonlinear boundary test approach (NARDL) was used for the 2004:01-2018:05 data period due to the possibility of long term nonlinear relations between inflation and interest. The exchange rate and the budget balance, which can be effective in determining the inflation rate, are also included in the model as control variables. According to the analysis findings, there is long-term asymmetric cointegration relationship between variables. It was concluded that while inflation and nominal interest rates have symmetrical relationship in the short run, they have asymmetric relationship in the long run. When the relationship between budget balance and inflation is examined, the results support the Ricardian approach. 

Anahtar Kelimeler

Inflation Rate, Interest Rate, NARDL, Asymmetric Effect

ENFLASYONUN STOKASTİK BELİRLEYİCİLERİ: TÜRKİYE EKONOMİSİ İÇİN BİR NARDL YAKLAŞIMI

Öz

İktisat yazınında, iktisat politikaları bağlamında faiz ile enflasyon arasındaki ilişkinin yönü konusunda bir uzlaşma sağlanamamıştır. Türkiye ekonomisinde son dönemlerde görülen yüksek enflasyon oranlarının yanı sıra nominal faizlerin de artan bir eğilime sahip olması dolayısıyla, çalışmada Türkiye ekonomisi için enflasyon ve nominal faiz oranları arasındaki ilişki asimetrik olarak incelenmiştir. Bu noktada, çalışmada enflasyon ve faiz arasında uzun dönemde asimetrik ilişkilerin var olma ihtimali nedeniyle 2004:01-2018:05 veri dönemi için asimetrik sınır testi yaklaşımı (NARDL) kullanılmıştır. Enflasyon oranının belirlenmesinde etkili olabilen döviz kuru ve bütçe dengesi de kontrol değişken olarak modele dâhil edilmiştir. Çözümleme bulgularına göre, değişkenler arasında uzun dönem asimetrik bir eşbütünleşme ilişkisinin var olduğu tespit edilmiştir. Enflasyon ile nominal faiz oranları arasında kısa dönemde simetrik, uzun dönemde asimetrik bir ilişki olduğu sonucuna ulaşılmıştır. Bütçe dengesi ile enflasyon arasındaki ilişki incelendiğinde ise Ricardocu görüşü destekler nitelikte bulgulara ulaşılmıştır. 

Anahtar Kelimeler

Enflasyon Oranı, Faiz Oranı, NARDL, Asimetrik Etki

Kaynakça

• ALEXANDER, A.A., ANDOW, A.H. and DANPOME, M.G., (2015), Analysis of the Main Determinants of Inflation in Nigeria, Research Journal of Finance and Accounting, 6(2).
• ALTINTAŞ, H., ÇETİNTAŞ, H. ve TABAN, S., (2008), Türkiye’de Bütçe Açığı, Parasal Büyüme ve Enflasyon Arasindaki Ilişkinin Ekonometrik Analizi: 1992–2006, Anadolu Üniversitesi Sosyal Bilimler Dergisi, 8(2), 185–208.
• ANARI, A. and KOLARI, J., (2016), Dynamics of Interest and Inflation Rates, Journal of Empirical Finance, 39, 129–144. BAYAT, T., (2011), Türkiye’de Fisher Etkisinin Geçerliliği; Doğrusal Olmayan Eş Bütünleşme Yaklaşımı, Erciyes Üniversitesi İktisadi ve İdari Bilimler Dergisi(38), 47-60.
• BERUMENT, H. and JELASSI, M. M., (2002), The Fisher Hypothesis: A Multi-Country Analysis, Applied Economics, 34(13), 1645-1655. BOLATOĞLU, N., (2006), Türkiye’de Enflasyon ve Nominal Faiz Oranları Arasındaki Uzun Dönemli İlişki: Fısher Etkisi, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(2), 1-15.
• BOOTH, G.G. and CINER, C., (2001), The Relationship Between Nominal Interest Rates and Inflation: International Evidence, Journal of Multinational Financial Management, 11(3), 269-280.
• CIORAN, Z., (2014), Monetary Policy, Inflation and the Causal Relation between the Inflation Rate and Some of the Macroeconomic Variables, Procedia Economics and Finance, 16, 391-401.
• CROWDER, W.J. and HOFFMAN, D.L., (1996), The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited, Journal of Money, Credit and Banking, 28(1), 102-118.
• DELATTE, A.L. and LÓPEZ-VILLAVICENCIO, A., (2010), Asymmetric Responses of Prices to Exchange Rate Variations Evidence from the G7 Countries, Journal of Macroeconomics, 34, 1-19.
• DELATTE, A.L. and LÓPEZ-VILLAVICENCIO, A., (2011), Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries, Journal of Macroeconomics, 1-26.
• ERDEM, E., and KAYHAN, S., (2011), The Taylor Rule in Estimating the Performance of Inflation Targeting Programs: The Case of Turkey, Global Economy Journal, 11(1), 1-17.
• EVANS, M.D. and LEWIS, K.K., (1995), Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relations?, The Journal of Finance, 50(1), 225-253.
• FAMA, E.F., (1975), Short Term Interest Rates as Predictors of Inflation, American Economic Review, 65(3), 269-282.
• FISHER, I., (1907), The Rate of Interest, New York, The MacMillan Company.
• FISHER, I., (1930), The Theory of Interest, New York, NY: Macmillan.
• FRIEDMAN, M., (1959), The Demand for Money: Some Theoretical and Empirical Results, 1-29. NBER.
• ALEXANDER, A.A., ANDOW, A.H. and DANPOME, M.G., (2015), Analysis of the Main Determinants of Inflation in Nigeria, Research Journal of Finance and Accounting, 6(2).
• ALTINTAŞ, H., ÇETİNTAŞ, H. ve TABAN, S., (2008), Türkiye’de Bütçe Açığı, Parasal Büyüme ve Enflasyon Arasindaki Ilişkinin Ekonometrik Analizi: 1992–2006, Anadolu Üniversitesi Sosyal Bilimler Dergisi, 8(2), 185–208.
• ANARI, A. and KOLARI, J., (2016), Dynamics of Interest and Inflation Rates, Journal of Empirical Finance, 39, 129–144.
• BAYAT, T., (2011), Türkiye’de Fisher Etkisinin Geçerliliği; Doğrusal Olmayan Eş Bütünleşme Yaklaşımı, Erciyes Üniversitesi İktisadi ve İdari Bilimler Dergisi(38), 47-60.
• BERUMENT, H. and JELASSI, M. M., (2002), The Fisher Hypothesis: A Multi-Country Analysis, Applied Economics, 34(13), 1645-1655.
• BOLATOĞLU, N., (2006), Türkiye’de Enflasyon ve Nominal Faiz Oranları Arasındaki Uzun Dönemli İlişki: Fısher Etkisi, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(2), 1-15.
• BOOTH, G.G. and CINER, C., (2001), The Relationship Between Nominal Interest Rates and Inflation: International Evidence, Journal of Multinational Financial Management, 11(3), 269-280.
• CIORAN, Z., (2014), Monetary Policy, Inflation and the Causal Relation between the Inflation Rate and Some of the Macroeconomic Variables, Procedia Economics and Finance, 16, 391-401.
• CROWDER, W.J. and HOFFMAN, D.L., (1996), The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited, Journal of Money, Credit and Banking, 28(1), 102-118.
• DELATTE, A.L. and LÓPEZ-VILLAVICENCIO, A., (2010), Asymmetric Responses of Prices to Exchange Rate Variations Evidence from the G7 Countries, Journal of Macroeconomics, 34, 1-19.
• DELATTE, A.L. and LÓPEZ-VILLAVICENCIO, A., (2011), Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries, Journal of Macroeconomics, 1-26.
• ERDEM, E., and KAYHAN, S., (2011), The Taylor Rule in Estimating the Performance of Inflation Targeting Programs: The Case of Turkey, Global Economy Journal, 11(1), 1-17.
• EVANS, M.D. and LEWIS, K.K., (1995), Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relations?, The Journal of Finance, 50(1), 225-253.
• FAMA, E.F., (1975), Short Term Interest Rates as Predictors of Inflation, American Economic Review, 65(3), 269-282.
• FISHER, I., (1907), The Rate of Interest, New York, The MacMillan Company.
• FISHER, I., (1930), The Theory of Interest, New York, NY: Macmillan.
• FRIEDMAN, M., (1959), The Demand for Money: Some Theoretical and Empirical Results, 1-29. NBER.
• GÜL, E. and AÇIKALIN, S., (2008), An Examination of the Fisher Hypothesis: The Case of Turkey, Applied Economics, 40, 3227–3231.
• IRELAND, P.,N., (1996), Long-Term Interest Rates and Inflation: A Fisherian Approach, Federal Reserve Bank of Richmond Economic Quarterly, 82(1), 21-35.
• KAPETANIOS, G., SHIN, Y. and SNELL, A., (2006), Testing for Cointegration in Nonlinear Smooth Transition Error Correction Models, Econometric Theory, 22(2), 279-303.
• KAPLAN, F. and GÜNGÖR, Ş., (2017), The Relationship Between Money Supply, Interest Rate and Inflation Rate: an Endogeneity-Exogeneity Approach, European Scientific Journal, 13(1), 30-38.
• KESRIYELI, M., (1994), Policy Regime Changes and Testing for the Fisher and UIP hypotheses: The Turkish Evidence, The Central Bank of the Republic of Turkey, Discussion Paper No: 9411.
• KHUMALO, L.C., MUTAMBARA, E. and ASSENSOH-KODUA, A., (2017), Relationship Between Inflation and Interest Rates in Swaziland, Banks and Bank Systems, 12(4), 218-226.
• KOSE, N., EMİRMAHMUTOGLU, F. and AKSOY, S., (2012), The interest rate–inflation relationship under an inflation targeting, Journal of Asian Economics, 23, 476-485.
• LINNEMANN, L., (2005), Can Raising Interest Rates Increase Inflation?, Economics Letters, 87, 307-311.
• MAKI, D., (2003), Nonparametric Cointegration Analysis of the Nominal Interest Rate and Expected Inflation Rate, Economics Letters, 81(3), 349-354.
• MISHKIN, F.S., (1992), Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates, Journal of Monetary Economics, 30(2), 195-215.
• MOHANTY, D. and JOHN, J., (2015), Determinants of Inflation in India, Journal of Asian Economics, 86-96.
• NGUYEN, H. and SHIN, Y., (2011), Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics, Melbourne Institute Working Paper Series No.14/11.
• OKTAYER, A., (2013), Fiyat Düzeyi Mali Teorisinin Türkiye Açısından Geçerliliği: Ampirik Bir Analiz, İktisat Fakültesi Mecmuası, 63, 51-79.
• ÖZMEN, M. ve KOÇAK, F.İ., (2012), Enflasyon, Bütçe Açığı ve Para Arzı İlişkisinin ARDL Yaklaşımı ile Tahmini: Türkiye Örneği, Çukurova Üniversitesi İİBF Dergisi, 16(1), 1-19.
• PENG, W., (1995), The Fisher Hypothesis and Inflation Persistence Evidence From Five Major Industiral Countries, IMF Working Paper No: 95/118.
• PESARAN, M.H., SHIN, Y. and SMITH, J.R., (2001), Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Economics, 16, 289-326.
• PESARAN, M. H., SHIN, Y. and SMITH, R.P., (1999), Pooled Mean Group Estimation of Dynamic Heterogeneous Panels, Journal of the American Statistical Association, 94(446), 621-634.
• SHIN, Y., YU, B. and GREENWOOD-NIMMO, M., (2014), Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. R. C. Sickles, & W. C. Horrace (Dü) içinde, Festschrift in Honor of Peter Schmidt, New York: Springer.
• SOYBİLGEN, B. and YAZGAN, E., (2017), An Evaluation of Inflation Expectations in Turkey, 17. Central Bank Review.
• ŞİMŞEK, M. ve KADILAR, C., (2006), Fisher Etkisinin Türkiye Verileri İle Testi, Doğuş Üniversitesi Dergisi, 7(1), 99-111.
• TURGUTLU, E., (2004), Testing the Fisher Hypothesis: Fractional Unit Root and Fractional Cointegration Analysis, Journal of FEAS Dokuz Eylul University, 19, 55-74.
• UEDA, K., (2010), Determinants of Households’ Inflation Expectations Expectations in Japan and the United States, Journal of the Japanese and International Economies, 24(4), 503-518.
• UTKULU, U. ve EKİNCİ, R., (2016)., Uluslararası Petrol ve Gıda Fiyatlarından İç Fiyatlara Asimetrik ve Doğrusal Olmayan Fiyat Geçişkenliği: Türkiye İçin NARDL Modeli Bulguları, Finans Politik & Ekonomik Yorumlar, 53(617), 9-22.
• WICKSELL, K., (1936), Interest and Prices: A Study of the Causes of Regulating the Value of Money, (R. F. Kahn, Dü.) MacMillan, London, UK.
• YAPRAKLI, S. ve YURTTANÇIKMAZ, Ç.Z., (2010), Türkiye’de Gibson Çelişkisinin Geçerliliği: Ekonometrik Bir Analiz (1970-2009), Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(3), 23-39.
• YEAP, G.P. and LEAN, H.H., (2017), Asymmetric Inflation Hedge Properties of Housing In Malaysia: New Evidence from Nonlinear Ardl Approach, Habitat International, 61, 11-21.
• YILANCI, V., (2009), Fisher Hipotezinin Türkiye İçin Sınanması: Doğrusal Olmayan Eşbütünleşme Analizi, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 23(4), 205-213.