Araştırma Makalesi
BibTex RIS Kaynak Göster

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

Yıl 2021, , 133 - 145, 31.03.2021

Semih Emre Çekin

https://doi.org/10.11611/yead.781274

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

Kaynakça

  • Ascari, G., & Sbordone, A. M. (2014). The macroeconomics of trend inflation. Journal of Economic Literature, 52(3), 679-739.
  • Chan, J. C. (2013). Moving average stochastic volatility models with application to inflation forecast. Journal of Econometrics, 176(2), 162-172.
  • Chan, J. C. (2018). Specification tests for time-varying parameter models with stochastic volatility. Econometric Reviews, 37(8), 807-823.
  • Cogley, T., & Sargent, T. J. (2005). Drifts and volatilities: monetary policies and outcomes in the post WWII US. Review of Economic dynamics, 8(2), 262-302.
  • Cogley, T., & Sbordone, A. M. (2008). Trend inflation, indexation, and inflation persistence in the New Keynesian Phillips curve. American Economic Review, 98(5), 2101-26.
  • Ersel, H., & Özatay, F. (2008). Fiscal dominance and inflation targeting: Lessons from Turkey. Emerging Markets Finance and Trade, 44(6), 38-51.
  • Gonçalves, C. E. S., & Salles, J. M. (2008). Inflation targeting in emerging economies: What do the data say? Journal of Development Economics, 85(1-2), 312-318.
  • Harvey, A. C. (1985). Trends and cycles in macroeconomic time series. Journal of Business & Economic Statistics, 3(3), 216-227.
  • Justiniano, A., & Primiceri, G. E. (2008). The time-varying volatility of macroeconomic fluctuations. American Economic Review, 98(3), 604-41.
  • Kara, H., & Öğünç, F. (2008). Inflation targeting and exchange rate pass-through: The Turkish experience. Emerging Markets Finance and Trade, 44(6), 52-66.
  • Kibritçioğlu, A. (2001). Causes of inflation in Turkey: A literature survey with special reference to theories of inflation”. Economics Bulletin 28 (21):A1.
  • Kim, S., Shephard, N., & Chib, S. (1998). Stochastic volatility: likelihood inference and comparison with ARCH models. The review of economic studies, 65(3), 361-393.
  • Leigh, M. D., & Rossi, M. M. (2002). Exchange rate pass-through in Turkey (No. 2-204). International Monetary Fund.
  • Mandalinci, Z. (2017). Forecasting inflation in emerging markets: An evaluation of alternative models. International Journal of Forecasting, 33(4), 1082-1104.
  • Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162.
  • Öğünç, F., Akdoğan, K., Başer, S., Chadwick, M. G., Ertuğ, D., Hülagü, T., Kosem, S., Ozmen, U. & Tekatlı, N. (2013). Short-term inflation forecasting models for Turkey and a forecast combination analysis. Economic Modelling, 33, 312-325.
  • Primiceri, G. E. (2006). Why inflation rose and fell: policy-makers' beliefs and US postwar stabilization policy. The Quarterly Journal of Economics, 121(3), 867-901.
  • Sims, C. A., & Zha, T. (2006). Were there regime switches in US monetary policy?. American Economic Review, 96(1),54-81.
  • Stock, J. H., & Watson, M. W. (2007). Why has US inflation become harder to forecast?. Journal of Money, Credit and banking, 39, 3-33.

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

Yıl 2021, , 133 - 145, 31.03.2021

Semih Emre Çekin

https://doi.org/10.11611/yead.781274

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

  • Ascari, G., & Sbordone, A. M. (2014). The macroeconomics of trend inflation. Journal of Economic Literature, 52(3), 679-739.
  • Chan, J. C. (2013). Moving average stochastic volatility models with application to inflation forecast. Journal of Econometrics, 176(2), 162-172.
  • Chan, J. C. (2018). Specification tests for time-varying parameter models with stochastic volatility. Econometric Reviews, 37(8), 807-823.
  • Cogley, T., & Sargent, T. J. (2005). Drifts and volatilities: monetary policies and outcomes in the post WWII US. Review of Economic dynamics, 8(2), 262-302.
  • Cogley, T., & Sbordone, A. M. (2008). Trend inflation, indexation, and inflation persistence in the New Keynesian Phillips curve. American Economic Review, 98(5), 2101-26.
  • Ersel, H., & Özatay, F. (2008). Fiscal dominance and inflation targeting: Lessons from Turkey. Emerging Markets Finance and Trade, 44(6), 38-51.
  • Gonçalves, C. E. S., & Salles, J. M. (2008). Inflation targeting in emerging economies: What do the data say? Journal of Development Economics, 85(1-2), 312-318.
  • Harvey, A. C. (1985). Trends and cycles in macroeconomic time series. Journal of Business & Economic Statistics, 3(3), 216-227.
  • Justiniano, A., & Primiceri, G. E. (2008). The time-varying volatility of macroeconomic fluctuations. American Economic Review, 98(3), 604-41.
  • Kara, H., & Öğünç, F. (2008). Inflation targeting and exchange rate pass-through: The Turkish experience. Emerging Markets Finance and Trade, 44(6), 52-66.
  • Kibritçioğlu, A. (2001). Causes of inflation in Turkey: A literature survey with special reference to theories of inflation”. Economics Bulletin 28 (21):A1.
  • Kim, S., Shephard, N., & Chib, S. (1998). Stochastic volatility: likelihood inference and comparison with ARCH models. The review of economic studies, 65(3), 361-393.
  • Leigh, M. D., & Rossi, M. M. (2002). Exchange rate pass-through in Turkey (No. 2-204). International Monetary Fund.
  • Mandalinci, Z. (2017). Forecasting inflation in emerging markets: An evaluation of alternative models. International Journal of Forecasting, 33(4), 1082-1104.
  • Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162.
  • Öğünç, F., Akdoğan, K., Başer, S., Chadwick, M. G., Ertuğ, D., Hülagü, T., Kosem, S., Ozmen, U. & Tekatlı, N. (2013). Short-term inflation forecasting models for Turkey and a forecast combination analysis. Economic Modelling, 33, 312-325.
  • Primiceri, G. E. (2006). Why inflation rose and fell: policy-makers' beliefs and US postwar stabilization policy. The Quarterly Journal of Economics, 121(3), 867-901.
  • Sims, C. A., & Zha, T. (2006). Were there regime switches in US monetary policy?. American Economic Review, 96(1),54-81.
  • Stock, J. H., & Watson, M. W. (2007). Why has US inflation become harder to forecast?. Journal of Money, Credit and banking, 39, 3-33.
Toplam 19 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Semih Emre Çekin 0000-0003-4637-3112

Yayımlanma Tarihi 31 Mart 2021
Yayımlandığı Sayı Yıl 2021

Kaynak Göster

APA Çekin, S. E. (2021). TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?. Yönetim Ve Ekonomi Araştırmaları Dergisi, 19(1), 133-145. https://doi.org/10.11611/yead.781274
AMA Çekin SE. TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?. Yönetim ve Ekonomi Araştırmaları Dergisi. Mart 2021;19(1):133-145. doi:10.11611/yead.781274
Chicago Çekin, Semih Emre. “TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?”. Yönetim Ve Ekonomi Araştırmaları Dergisi 19, sy. 1 (Mart 2021): 133-45. https://doi.org/10.11611/yead.781274.
EndNote Çekin SE (01 Mart 2021) TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?. Yönetim ve Ekonomi Araştırmaları Dergisi 19 1 133–145.
IEEE S. E. Çekin, “TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?”, Yönetim ve Ekonomi Araştırmaları Dergisi, c. 19, sy. 1, ss. 133–145, 2021, doi: 10.11611/yead.781274.
ISNAD Çekin, Semih Emre. “TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?”. Yönetim ve Ekonomi Araştırmaları Dergisi 19/1 (Mart 2021), 133-145. https://doi.org/10.11611/yead.781274.
JAMA Çekin SE. TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?. Yönetim ve Ekonomi Araştırmaları Dergisi. 2021;19:133–145.
MLA Çekin, Semih Emre. “TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?”. Yönetim Ve Ekonomi Araştırmaları Dergisi, c. 19, sy. 1, 2021, ss. 133-45, doi:10.11611/yead.781274.
Vancouver Çekin SE. TREND-CYCLE MODELING OF TURKISH INFLATION: DOES STOCHASTIC VOLATILITY PLAY A ROLE?. Yönetim ve Ekonomi Araştırmaları Dergisi. 2021;19(1):133-45.