TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?

Öz

Inflation dynamics in Turkey have been notoriously volatile for several decades. Starting in the 1970 decade, inflation rates frequently reached three digit levels, remained high until 2000 and decreased to relatively low levels after 2001 as a consequence of a series of reforms. Considering the volatile and alternating behavior of inflation dynamics in Turkey, the purpose of this work is to utilize different specifications, including time-varying trend and stochastic volatility setups, in order to test, to which extent stochastic volatility is relevant for modeling inflation in Turkey for the period 1955-2020. Our results suggest that inflation volatility is indeed time-varying and that the period 1980-2000 was characterized by increasing trend inflation and inflation volatility. Also, we show that specifications with stochastic volatility are preferred over those with constant volatility.

Anahtar Kelimeler

• Inflation dynamics
• Stochastic volatility
• Turkish economy

TÜRKİYE ENFLASYONU İÇİN TREND-DÖNGÜ MODELLEMESİ: STOKASTİK OYNAKLIĞIN BİR ÖNEMİ VAR MI?

Öz

Türkiye'nin enflasyon dinamikleri, bilindiği üzere on yıllardır aşırı oynaklıklara tabi olmuştur. 1970'li yıllarda üç haneli seviyelere ulaşan enflasyon oranları, 2000 yılına kadar yüksek kalıp, bir dizi reformun neticesinde 2001'den sonra görece düşük seviyelere düşmüştür. Bu çalışmanın amacı, Türkiye'de hâkim olan enflasyon dinamiklerinin değişkenliği ve oynaklığını göz önünde bulundurarak, 1955-2020 seneleri için enflasyon modellemesi yapmaktır. Bu amaç için çeşitli zamanla değişen trend ve stokastik oynaklık modelleri kullanılmakta ve stokastik oynaklığın enflasyon modellemesi için ne ölçüde önemli olduğu araştırılmaktadır. Bulgularımız, enflasyon oynaklığının zamanla değişken olduğunu ve 1980-2000 döneminde trend enflasyonunun ve enflasyon oynaklığının arttığını göstermektedir. Ayrıca bulgularımız, stokastik oynaklık içeren modellerin, sabit oynaklık varsayımında bulunan modellere tercih edildiğini göstermektedir.

Anahtar Kelimeler

• Enflasyon dinamikleri
• Stokastik Oynaklık
• Türkiye Ekonomisi

Kaynakça

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