Monetary policy, the price puzzle and inflation expectations: evidence from Türkiye

Öz

This article mainly investigates the relationship between monetary policy and inflation in Türkiye. We also consider the impact of inflation expectations on domestic inflation. The inflation data in Türkiye reveals outliers due to frequently occurred political and economic instabilities, and hence exhibits tail dynamics. We differ from the traditional literature and aim to capture the asymmetry in the data by quantile regressions. Our results first show that monetary policy generates price puzzle. Second, we reveal that inflation expectations are crucial in the fight against inflation. Insignificant inflation responses of demand changes and recent distortions of inflation expectations both may explain why the demand channel has failed and domestic prices rise after an increase in interest rates. Third, our results imply that the lack of a proper international economic environment is also responsible for price increases. Finally, the results are robust to the use of alternative specifications, different measurement of monetary policy change and existence of structural breaks.

Anahtar Kelimeler

• Monetary Policy
• Price Puzzle
• Asymmetry

Para politikası, fiyat bulmacası ve enflasyon beklentileri: Türkiye’den kanıtlar

Öz

Bu çalışma temel olarak, Türkiye de uygulanan para politikası ile enflasyon arasındaki ilişkiyi incelemektedir. Ayrıca, çalışmada enflasyon beklentilerinin enflasyon üzerinde yarattığı etki de göz önüne alınmaktadır. Türkiye’ye ait enflasyon verisi sıklıkla karşılaşılan politik ve ekonomik istikrarsızlıklar nedeniyle istatistiki olarak aşırılıklar göstermektedir. Bu çalışma geleneksel literatürden ayrılmakta ve enflasyon verisinin sahip olduğu asimetriyi kantil regresyonlar aracılığıyla analiz etmektedir. Elde edilen sonuçlara göre para politikası fiyat bulmacası yaratmaktadır. İkinci olarak, enflasyon beklentileri de enflasyon ile mücadelede önemli bir faktör olarak ortaya çıkmaktadır. Talep değişimlerinin istatistiki olarak anlamlı olmayan enflasyon tepkisi ile enflasyon beklentilerinde son dönemde meydana gelen bozulma, talep kanalının neden çalışmadığını ve faiz artışına karşılık fiyatların da neden arttığını açıklayabilir. Üçüncü olarak, uluslararası koşulların elverişli olmaması da fiyat artışları üzerinde etkilidir. Son olarak, elde edilen sonuçlar farklı spesifikasyonlara, para politikası değişimleri için kullanılan farklı faiz oranına ve yapısal kırılmalara karşı dayanıklıdır.

Anahtar Kelimeler

• Para Politikası
• Fiyat Bulmacası
• Asimetri

Kaynakça

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