İSTANBUL TİCARET ODASI TEFE GENEL ENDEKSİ ENFLASYONU VE ALT BİLEŞENLERİ ARASI İLİŞKİ: TÜRKİYE ÜZERİNE ASİMETRİK SABİT KOŞULLU KORELASYON ANALİZİ, 1968-2015

Öz

Bu çalışmada, Türkiye İstanbul Ticaret Odası Toptan Eşya Fiyatları Endeksi (1968-2015) ve alt bileşenleri arasındaki koşullu korelasyon ilişkisi asimetrik bir model yapısı çerçevesinde analiz edilmektedir. Bulgular Türkiye’de gıda, inşaat ve döviz kurunun enflasyona etkisinin enflasyon hedeflemesi rejimine geçildiği 2006 yılı sonrasında (2006-2015), enflasyon hedeflemesi rejimi öncesine (1968-2005) göre azaldığına, petrol fiyatlarındaki değişimin etkisinin ise arttığına işaret etmektedir. Enflasyon hedeflemesi rejiminin bu anlamda geçişkenliklerin azaltılmasına katkı sağladığı söylenebilir.  

Anahtar Kelimler: Enflasyon; Para Politikası; Asimetrik Sabit Koşullu Korelasyon.

Jel Kodu: E31; E52; C58.

Relationship between the Istanbul Chamber of Wholesale General Price Index and its Components: Asymmetric Conditional Correlation Analysis on Turkey, 1968-2015.

Abstract. This study analyzes conditional correlation relationship within the framework of an asymmetric model between the Istanbul Chamber of Wholesale General Price Index and its components for the period of 1968-2015. The findings indicate that although the effects of food, construction and foreign exchange rate on the general inflation has decreased in era of inflation targeting regime (2006-2015) compared to 1968-2015 period, the effect of oil prices has increased in the same period. Overall, it can be inferred that inflation targeting regime may have served to the reduction of pass-through.

Key Words: Inflation; Monetary Policy; Asymmetric Constant Conditional Correlation.

Jel Codes: E31; E52; C58.

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