THE ASYMMETRIC RELATIONSHIP BETWEEN ACTUAL INFLATION AND INFLATION EXPECTATION IN TURKEY

Öz

Determining the relationship between inflation and inflation expectations is important in terms of determining the policy stance, credibility and cost of policy actions of central bank which is the implements an inflation targeting regime. In this study, the asymmetric relationship between expected inflation and actual inflation in Turkey was examined with the Nonlinear Aoutoregressive Distrubuted Lag (NARDL) model using monthly data fort he period of 2016 January- 2021 March. The findings show that there are both long term and short term asymmetric relationship between expected inflation and actual inflation. According to estimation results, a %1 increase in actual inflation increases inflation expectations by about %0.61, while a %1 decrease in actual inflations reduces expected inflations by %0.64. On the other hand, it is among the findings that a %1 increase in exchange rates increases expected inflations by %0.52

Anahtar Kelimeler

• Inflation
• Inflation Expectations
• Asymmetric Effect
• NARDL

TÜRKİYE’DE BEKLENEN ENFLASYON ile GERÇEKLEŞEN ENFLASYON ARASINDAKİ ASİMETRİK İLİŞKİ

Öz

Enflasyon ile enflasyon beklentileri arasındaki ilişkinin belirlenmesi, enflasyon hedeflemesi rejimi uygulayan bir merkez bankasının politika duruşunun, güvenilirliğinin ve politika eylemlerinin maliyetlerinin belirlenebilmesi açısından önem teşkil etmektedir. Bu çalışmada Türkiye’de beklenen enflasyon ile gerçekleşen enflasyon arasındaki asimetrik ilişki 2016 Ocak-2021 Mart dönemi için aylık veriler kullanılarak Doğrusal Olmayan Otoregresif Dağıtılmış Gecikme Modeli (NARDL) ile incelenmiştir. Elde edilen bulgular, gerçekleşen enflasyon ile beklenen enflasyon arasında hem uzun hem de kısa dönemli asimetrik ilişkilerin olduğu yönündedir. Tahmin sonuçlarına göre gerçekleşen enflasyondaki %1’lik bir artış enflasyon beklentilerini yaklaşık %0.61 arttırırken, gerçekleşen enflasyondaki %1’lik bir azalış enflasyon beklentilerini %0.64 azaltmaktadır. Öte yandan döviz kurundaki %1’lik bir artışın enflasyon beklentilerini %0.52 arttırdığı elde edilen bulgular arasındadır.

Anahtar Kelimeler

• enflasyon beklentileri
• enflasyon
• asimetrik ilişki
• Nardl

Kaynakça

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