TÜRKİYE’DE ENFLASYON SÜREKLİLİĞİNİN ABKBHO MODELLERİYLE ANALİZİ

Yıl 2009, , 249 - 257, 10.01.2009

K. Batu Tunay

https://doi.org/10.14783/maruoneri.677658

Cited By: 3

Öz

Politika yapıcılar, ekonomik şokların gelecekte ekonomiyi nasıl etkileyeceğini tahmin etmek isterler. Bu tür şoklar zaman içinde süreklilik gösterebilir. Şokların enflasyon üzerinde süreklilik etkilerinin düzeyi, enflasyonun zaman serisi özelliklerine bağlıdır. Süreklilik enflasyonun önemli bir istatistiksel özelliğidir ve cari enflasyonun kendi geçmiş değerlerinden etkilenmesini ifade eder. Enflasyon sürekliliği, parametrik, parametrik olmayan ve yapısal istatistiksel yöntemlerle analiz edilebilir. Bu çalışmada, Türkiye’deki enflasyon sürekliliği olgusu parametrik bir yöntem olan ABKBHO modeliyle analiz edilmektedir. Elde edilen bulgular zayıf bir enflasyon sürekliliği süreci olduğunu göstermektedir. Bu sonuçlar son dönemdeki açık enflasyon hedeflemesi sürecinin başarısının bir kanıtı olabilir.

Anahtar Kelimeler

Enflasyon Sürekliliği, Açık Enflasyon Hedeflemesi, ABKBHO Modelleri, Etki-Tepki Fonksiyonları

Kaynakça

• [1] Siklos, P.L. (1999). Inflation Target Design: Chancing Inflation Performance and Persistence in Industrial Countries. Federal Reserve Bank of St.Louis Review, March/April, 47-58.
• [2] Phillips, A.W. (1958). The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861-1957. Economica, 25 (November), 283-299.
• [3] Lucas, R.E. (1972). Econometric Testing of the Natural Rate Hypothesis. (Eds.: Eckstein, O.). The Econometrics of Price Determination Conference. Washington, DC: Board of Govemors of the Federal Reserve System.
• [4] Fischer, S. (1977). Long-Term Contracts, Rational Expectations and the Optimal Money Supply Rule. Journal of Political Economy, 85(1), 191-206.
• [5] Gray, J.A. (1978). “On Indexation and Contract Length.” Journal of Political Economy, 86(1), (February), 1-18.
• [6] Taylor, J.B. (1980). Aggregate Dynamics and Staggered Contracts. Journal of Political Economy 88(1), 1-24.
• [7] Calvo, G. (1983). Staggered Prices in a Utility-Maximizing Framework. Journal of Monetary Economics, 12(3), 383— 98.
• [8] Rotemberg, J. (1983). Aggregate Consequences of Fixed Costs of Price Adjustment. American Economic Review, 73(3), 433-36.
• [9] Gordon, R.J. (1985). Understanding Inflation in the 1980s. Brookings Papers on Economic Activity, 16(1), 263-99.
• [10] Roberts, J.M. (1995). New Keynesian Economics and the Phillips Curve. Journal of Money, Credit, and Banking, 27, (November), 975-84.
• [11] Fuhrer, J.C. & Moore, G.R. (1995). Inflation Persistence. Quarterly Journal of Economics, 110(1), 127-59.
• [12] Gali, J. & Gertler, M. (1999). Inflation Dynamics: A Structural Econometric Analysis. Journal of Monetary Economics, 44(2), 195-222.
• [13] Erceg, C.J.; Henderson, D.W. & Levin, A.T. (2000). Optimal Monetary Policy with Staggered Wage and Price Contracts. Journal of Monetary Economics, 46(2), 281- 313.
• [14] Gali, J.; Gertler, M. & Lopez-Salido, D. (2001). European Inflation Dynamics. European Economic Review, 45(7), 1237-70.
• [15] Sbordone, A.M. (2002). Prices and Unit Labor Costs: A New Test of Price Stickiness. Journal of Monetary Economics 49(2), 265-92.
• [16] Mankiw, N.G. ve Reis, R. (2002). “Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve.” Quarterly Journal of Economics 117 (4), 1295—1328.
• [17] Cogley ve Sbordone (2005). A Search for a Structural Phillips Curve. Federal Reserve Bank of New York, Staff Report, No: 203, (February).
• [18] Christiano, L.J.; Eichenbaum, M. & Evans, C.L. (2005). Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy, 113(1), 1- 45.
• [19] Erceg, C. & Levin, A. (2003). Imperfect Credibility and Inflation Persistence. Journal of Monetary Economics, 50(4), 915-44.
• [20] Orphanides, A. & Williams, J. (2003). Imperfect Knowledge, Inflation Expectations, and Monetary Policy. (Ed.: Woodford, M.). Inflation Targeting. Chicago: University of Chicago Press.
• [21] Sargent, T. (1999). The Conquest of American Inflation. Princeton: Princeton University Press.
• [22] Celasun, O.; Calvo, G. & Kumhof, M. (2002). A Theory of Rational Inflationary Inertia. (Eds.; Aghion, P.; Frydman, R.; Stiglitz, J. & Woodford, M.). Knowledge, Information and Expectations in Modern Macroeconomics: In Honor of EdmundS. Phelps. Princeton: Princeton University Press.
• [23] Nimark, K. (2005). Calvo Pricing and Imperfect Common Knowledge - A Forvvard Looking Model of Rational Inflation Inertia. European Central Bank Working Paper, No: 474.
• [24] Cecchetti, S.G. & Debelle, G. (2006). Has the Inflation Process Changed? Economic Policy, 21 (46), 311 -352.
• [25] O’Reilly, G. & Whelan, K. (2005). Has Euro-Area Inflation Persistence Changed Över Time? Review of Economics and Statistics, 87(4), 807-820.
• [26] Levin, A. & Piger, J. (2004). Is Inflation Persistence Intrinsıc in Industrial Countries? The Federal Reserve Bank ofSt. Louis, Working Paper, No: 023E.
• [27] Levin, A.; Natalucci, F. & Piger, J. (2004). Explicit Inflation Objectives and Macroeconomic Outcomes. European Central Bank Working Paper, No. 383.
• [28] Dias, D. & Marquez, C. (2005). Using Mean Reversion as a Measure of Persistence. European Central Bank fVorking Paper, No: 450.
• [29] Lendvai, J. (2005). Hungarian Inflation Dynamics. MNB Occasional Papers, No: 2005/46.
• [30] Clark, T. (2006). Disaggregate Evidence on the Persistence in Consumer Price Inflation. Journal of Applied Econometrics, 21(5), 563-587.
• [31] Andrevvs, D. & Chen, W.K. (1994). Approximately Median-Unbiased Estimation of Autoregressive Models. Journal of Business and Economic Statistics, 12(2), 187— 204.
• [32] Dossche, M. & Everaert, G. (2005). Measuring Inflation Persistence - A Structural Time Series Approach. European Central Bank Working Paper, No: 495.
• [33] Franta, M.; Saxa, B. & Smidkova, K. (2007). Inflation Persistence: Euro Area and New Member States. European Central Bank Working Paper, No: 810.
• [34] Kutlar, A. & Turgut, T. (2006). Türkiye’de Başlıca Ekonomi Serilerinin ARFIMA Modelleri ile Tahmini ve Öngörülebilirliği. KOÜ Sosyal Bilimler Enstitüsü Dergisi, 11(1), 120-49.
• [35] Kahyaoğlu, H. & Abuk Duygulu, A. (2005). Finansal Varlık Fiyatlarındaki Değişme - Parasal Büyüklükler Etkileşimi. D.E.Ü. I.I.B.F. Dergisi, 20(1), 63-85.
• [36] Baum, C.F.; Barkoulas, J. & Çağlayan, M. (1999). Persistence in International Inflation Rates. Southern Economic Journal, 65(4), 900-14.
• [37] Gadea, M.D. & Mayoral, L. (2006). The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach. International Journal of Central Banking, 1(4), 51-104.