ASYMMETRIC EFFECT OF CENTRAL BANK CREDIBILITY ON INFLATION RATE: THE CASE OF TURKEY

Öz

In this paper, for the period of October 2010-March 2021, it is investigated that short and long-term asymmetric effects of CBRT’s credibility on CPI inflation rate by using NARDL method developed by Shin et al. (2014). The empirical findings are as follows: (i) The fact that long-term coefficients are negative and statistically significant shows that increases in central bank credibility reduce the inflation rate, while decreases in central bank credibility increase the inflation rate. (ii) According to dynamic asymmetric multiplier findings, when credibility decreases, the inflation rate increases statistically significantly by starting in the fourth month until the end of the sixth month. (iii) The fact that the increase in the inflation rate as a result of the decrease in credibility is greater than the decrease in the inflation rate as a result of the increase in credibility can be interpreted as the CBRT’s ability to control of inflation weakens by the deterioration of credibility. (iv) In addition, it seems that the pass-through effect from the changes in the exchange rate and oil prices on the inflation rate continues at the long term.

Anahtar Kelimeler

• Central Bank Credibility
• Flexible Inflation Targeting
• NARDL

MERKEZ BANKASI KREDİBİLİTESİNİN ENFLASYON ORANI ÜZERİNDEKİ ASİMETRİK ETKİSİ –TÜRKİYE ÖRNEĞİ–

Öz

Bu çalışmada Ekim 2010-Mart 2021 dönemi için TCMB’nin kredibilitesinin TÜFE enflasyon oranı üzerindeki kısa ve uzun dönem asimetrik etkileri Shin vd. (2014) tarafından geliştirilen NARDL yöntemi kullanılarak incelenmektedir. Çalışmada elde edilen ampirik bulgular şöyledir: (i) Uzun dönem katsayılarının negatif ve istatistiksel olarak anlamlı bulunması, merkez bankası kredibilitesinde meydana gelen artışların enflasyon oranını düşürdüğünü, merkez bankası kredibilitesindeki düşüşlerin ise enflasyon oranını yükselttiğini göstermektedir. (ii) Dinamik asimetrik çarpan bulgularına göre; kredibilite azaldığında, enflasyon oranı dördüncü ayda başlayıp altıncı ayın sonuna kadar istatistiksel olarak anlamlı bir şekilde artmaktadır. (iii) Kredibilitedeki düşüş sonucunda enflasyon oranındaki artışın kredibilitedeki artış sonucunda enflasyon oranındaki düşüşten daha büyük olması, kredibilitenin bozulmasının TCMB’nin enflasyonu kontrol etme yeteneğini zayıflattığı şeklinde yorumlanabilir. (iv) Ayrıca döviz kurundaki ve petrol fiyatlarındaki değişimlerin enflasyon oranına geçiş etkisinin uzun dönemde devam ettiği görülmektedir.

Anahtar Kelimeler

• Merkez Bankası Kredibilitesi
• Esnek Enflasyon Hedeflemesi
• NARDL

Kaynakça

1. Agénor, P. R., ve Taylor, M. P. (1992) “Testing for credibility effects”, Staff Papers, 39(3), 545-571.
2. Agénor, P.R. (2001) “Monetary policy under flexible exchange rates: An introduction to inflation targeting”, Central Bank of Chile Working Papers, No.124.
3. Akdemir, S., ve ÖZÇELİK, M. (2018) “Döviz kurlarının yurtiçi fiyatlara geçiş etkisi: Türkiye ekonomisi 2003-2017 dönemi uygulaması”, Ekonomik ve Sosyal Araştırmalar Dergisi, 14(1), 35-50.
4. Alptekin, V., Yilmaz, K. Ç., ve Tas, T. (2016) “Döviz Kurundan Fiyatlara Geçis Etkisi: Türkiye Örneği”, Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (35), 1-9.
5. Amisano, G., Tronzano (2010) “Assessing the European Central Bank’s credibility during the first years of the Eurosystem: A Bayesian empirical investigation”, The Manchester School 78(5), 437-459.
6. Araujo, E. (2016) “Monetary Policy Credibility and the Comovement between Stock Returns and Inflation”, (No. 449). Banco Central do Brasil Working Papers.
7. Arora, V., Gomis-Porqueras, P., ve Shi, S. (2013) “The divergence between core and headline inflation: Implications for consumers’ inflation expectations”, Journal of Macroeconomics, 38, 497-504.
8. Arslaner, F., Karaman, D., Arslaner, N., ve Kal, S. H. (2014) “The relationship between inflation targeting and exchange rate pass-through in turkey with a model averaging approach”, Central Bank of the Republic of Turkey Working Paper, (14/16), 1.

9. Ball, L. (1992) “Disinflation with Imperfect Credibility”, Working Paper No. 3983, National Bureau of Economic Research, Cambridge, MA, February.
10. Banerjee, A., Dolado, J., ve Mestre, R. (1998) “Error‐correction mechanism tests for cointegration in a single‐equation framework”, J. Time Ser. Anal. 19 (3), 267–283.
11. Başçı, E., ve Kara, A. H. (2011) “Financial stability and monetary policy”, İktisat, İşletme ve Finans, 26(302), 9-25.
12. Beckmann, J., ve Czudaj, R. L. (2018), “Monetary Policy Shocks, Expectations and Information Rigidities.” Economic Inquiry 56 (4): 2158–2176.
13. Bernanke, B.S. (2004) “What have we learned since october 1979?”, To the Conference on Reflections on Monetary Policy 25 Years after October 1979, Federal Reserve Bank of St. Louis, St. Louis, Missouri October 8, https://www.federalreserve.gov/boarddocs/speeches/2004/20041008/default.htm.
14. Bernanke, B.S. (2010) “Central bank independence, transparency, and accountability” in: Bank of Japan, Institute for Monetary and Economic Studies International Conference 25 (May 2010), Tokyo.
15. Blinder, A. S. (1999) Central banking in theory and practice, Cambridge, Mass.: The MIT Press.
16. Blinder, A. S. (2000) “Central-bank credibility: why do we care? How do we build it?”, American Economic Review, 90(5), 1421-1431.
17. Bomfim, A., ve Rudebusch, G. (2000) “Opportunistic and deliberate disinflation under imperfect credibility”, Journal of Money, Credit, and Banking, 32(4), 707-721.
18. Bordo, M. D., ve Siklos, P. L. (2015) “Central bank credibility: An historical and quantitative exploration”, NBER Working Paper, (No. w20824).
19. Bordo, M. D., ve Siklos, P. L. (2017). Central bank credibility before and after the crisis. Open Economies Review, 28(1), 19-45.
20. Borio, C., ve White, W. (2004) “Whither monetary and financail stability? The implications of evolving policy regimes”, BIS Working Papers, No.147.
21. Brunner, K. (1983) “Has monetarism failed?”, Cato Journal, 3, 23-62.
22. Calderón, C., Duncan, R., ve Schmidt-Hebbel, K. (2004) “Institutions and cyclical properties of macroeconomic policies”, (No. 285). Banco Central de Chile.
23. Cecchetti, S., ve Krause, S. (2002) “Central bank structure, policy efficiency, and macroeconomic performance: Exploring empirical relationships”, Federal Reserve Bank of St. Louis Review, 84, 99-117.
24. Christiano, L. J. ve C. Gust (2000) “The expectations trap hypothesis” Federal Reserve Bank of Chicago, Economic Perspectives, Second Quarter, 21-39.
25. Cukierman, A. (1986) “Central bank behavior and credibility: some recent theoretical developments”, Federal Reserve Bank of St. Louis Review, 68(5), 5-17.
26. Çatik, A. N. ve Karacuka, M. (2012) “Oil Pass-through to Domestic Prices in Turkey: Does the Change in Inflation Regime Matter?”, Ekonomska istraživanja, 25(2), 277-296.
27. De Freitas Val, F., Gaglianone, W. P., Klotzle, M. C., Pinto, A. C.F. (2017) “Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model”, (No. 463). Central Bank of Brazil, Research Department.
28. De Mendonça, H. F. (2007) “Towards credibility from inflation targeting: The Brazilian experience”, Applied Economics, 39(20), 2599-2615.
29. De Mendonça, H. F., ve De Guimaráes e Souzza, G. (2009) “Inflation targeting credibility and reputation: The consequences for the interest rate”, Economic Modelling, 26(6), 1228-1238.
30. De Mendonça, H. F., ve e Souza, G. J. D. G. (2012) “Is inflation targeting a good remedy to control inflation?”, Journal of Development economics, 98(2), 178-191.
31. De Mendonça, H. F., ve Tiberto, B. P. (2017) “Effect of credibility and exchange rate pass-through on inflation: An assessment for developing countries”, International Review of Economics & Finance, 50, 196-244.
32. Debelle, G. ve Fischer, S. (1994) “How independent should a central bank be?”, In Conference Series;[Proceedings] (Vol. 38, pp. 195-225). Federal Reserve Bank of Boston.
33. Debelle, G., Masson, P., Savastano, M., ve Sharma, S. (1998) “Inflation targeting as a framework for monetary policy”, (Vol. 15). Washington, DC: International Monetary Fund.
34. Dedeoğlu, D., ve Kaya, H. (2014) “Pass-Through of Oil Prices to Domestic Prices: Evidence From an Oil-Hungry But Oil-Poor Emerging Market”, Economic Modelling,43, 67-74.
35. Demertzis, M., Marcellino, M. ve Viegi, N. (2009) “Anchors for inflation expectations”, De Nederlandsche Bank Working Paper (229).
36. Demertzis, M., Marcellino, M., ve Viegi, N. (2012) “A credibility proxy: Tracking US monetary developments”, The BE Journal of Macroeconomics, 12(1). 1-36.
37. Demertzis, M., ve Viegi, N. (2016) “Credibility of central bank”, (er) s. VoxEU. org, 28.
38. Deutsche Bundesbank, D. (2015) “The importance of macroprudential policy for monetary policy”, Monthly Report March 2015.
39. Dincer, N., Eichengreen, B. (2009) “Central bank transparency: causes, consequences and updates”, National Bureau of Economic Research.14791.
40. Drazen, A., ve Masson P. R. (1994). “Credibility of policies versus credibility of policy makers”, Quarterly Journal of Economics, 109, 735-754.
41. Durgun Kaygısız, A., (2018) “Döviz Kuru Dalgalanmalarının Enflasyon Üzerindeki Geçiş Etkisi: Türkiye Örneği”, International Review of Economics and Management, 6 (2), 117-137.
42. Ehrmann, M., Eijffinger, S., Fratzscher, M. (2012), “The Role of Central Bank Transparency for Guiding Private Sector Forecasts.” Scandinavian Journal of Economics 114(3): 1018–1052.
43. Enders, W. (2010) Applied Econometric Time Series, 3rd Edition, USA: Wiley Publications.
44. Ferreira, R. T., Goes, C. R., Arruda, E. F. (2018) “Central bank credibility and inflation dynamics in Brazil”, Empirical Economics Letters, 17(2), 235-242.
45. Freedman, C., ve Otker-Robe, I. (2009) “Country experiences with the introduction and implementation of inflation targeting”, IMF Working Paper, No.09/161.
46. Galvis Ciro, J. C., Anzoategui Z., Juan C. (2019) “Disagreement in inflation expectations: empirical evidence for Colombia”, Applied Economics, 51(40), 4411-4424.
47. Gerlach-Kristen, P. ve Mössner, R. (2014) “Inflation expectations, central bank credibility and the global financial crisis”, Swiss Journal of Economics and Statistics, 150(2), 55-87.
48. Göktaş, P. (2019) “Türkiye’de Döviz Kurunun Tüketici Fiyatları Üzerindeki Asimetrik Geçiş Etkileri”, Sosyoekonomi, 27(42), 29-50.
49. Granger, C. W. J., ve Yoon, G. (2002) “Hidden cointegration”, Berkley, USA: University of California Working Paper.
50. Gullén, D., Garcia, M. (2014) “Disaggregated expectations, credibility of the Central Bank, and Markov chains”, Rev. Bras. Econ. 68(2), 197-223.
51. Gürkaynak, R. S., Levin, A. T., Swanson, E. T. (2006) “Does Inflation Targeting Anchor Long- Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S.”, U.K. and Sweden. Federal Reserve Board of San Francisco Working Paper, 2006-09.
52. Kara, A. H. (2012) “Monetary policy in the post-crises period”, İktisat İşletme ve Finans, 27(315), 9–36.
53. Kara, H., ve Öğünç, F. (2005) “Exchange rate pass-through in Turkey: It is slow, but is it really low?”, The Central Bank of the Republic of Turkey (No. 0510).
54. Lee, S., ve Kim, Y. M. (2019). “Inflation expectation, monetary policy credibility, and exchange rates”, Finance Research Letters, 31.
55. Levieuge, G., Lucotte, Y., Ringuede, S. (2018) “Central bank credibility and the expectations channel: Evidence based on a new credibility index”, Review of World Economics, 154(3), 493-535.
56. Levin, A. T., Natalucci, F. M. ve Piger, J. M. (2004) “The macroeconomic effects of inflation targeting”, Review-Federal Reserve Bank of Saint Louis, 86(4), 51-8.
57. Lysiak, T., Mackiewicz, J. ve Stanislawska, E. (2007) “Central bank transparency and credibility: The case of poland”, European Journal of Political Economy 23(1), 67–87.
58. Mackiewicz-Łyziak, J. (2016) “Central bank credibility: determinants and measurement. A cross-country study”, Acta Oeconomica, 66(1), 125-151.
59. Maliszewski, W. S. (2008), “Credibility of inflation targets in Poland”, Compara. Econ. Stud. 50(3), 494-510.
60. Minella, A., De Freitas, P. S., Goldfajn, I., ve Muinhos, M. K. (2003) “Inflation targeting in Brazil: constructing credibility under exchange rate volatility”, Journal of International Money and Finance, 22(7), 1015-1040.
61. Montes, G. C. (2009) “Reputation, credibility and monetary policy effectiveness”, Estudos Econômicos (São Paulo), 39(3), 673-698.
62. Montes, G. C. (2013) “Credibility and monetary transmission channels under inflation targeting: an econometric analysis from a developing country”, Economic Modelling, 30, 670-684.
63. Montes, G. C. ve Bastos, J. C. A. (2014) “Effects of reputation and credibility on monetary policy: theory and evidence for Brazil”, Journal of economic studies.
64. Montes, G. C. ve Curi, A. (2016) “The importance of credibility for the conduct of monetary policy and inflation control: theoretical model and empirical analysis for Brazil under inflation targeting”, Planejamento e Políticas Públicas, (46).
65. Montes, G. C., Oliveira, L. V., Curi, A., ve Nicolay, R. T. F. (2016) “Effects of transparency, monetary policy signalling and clarity of central bank communication on disagreement about inflation expectations”, Applied Economics, 48(7), 590-607.
66. Moreira, R. (2013) “Expected inflation, lagged inflation and the central bank’s credibility: Time-varying and VAR analysis for the recent Brazilian case”, Empirical Economics Letters, 12(6), 619-628.
67. Park, K. (2018) “Central bank credibility and monetary policy”, Bank of Korea WP, 45.
68. Nusair, S. A. (2016) “The effects of oil price shocks on the economies of the Gulf Co-operation Council countries: Nonlinear analysis”, Energy Policy, 91, 256-267.
69. Özata, E. (2019) “Türkiye'de Petrol Fiyatlarından Enflasyona Asimetrik ve Doğrusal Olmayan Geçişkenlik”, Optimum: Journal of Economics & Management Sciences/Ekonomi ve Yönetim Bilimleri Dergisi, 6(1).
70. Pesaran, M. H., Shin, Y., ve Smith, R. J. (2001) “Bounds testing approaches to the analysis of level relationships”, Journal of Applied Econometrics, 16(3), 289–326.
71. Posen, A. (1998) “Central bank independence and disinflationary credibility: a missing link?”, Oxford Economic Papers, 50(3), 335-359.
72. Potter, S.M., ve Smets, F. (2019) “Unconventional monetary policy tools: a cross-country analysis”, Bank for International Settlements CGFS Papers, (No. 63).
73. Shin, Y., Yu, B., Greenwood, N. M. (2014) “Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework”, In: Festschrift in honor of Peter Schmidt: Econometric methods and applications, (pp. 281–314). USA: Springer Publications.
74. Siklos, P. L. (2013) “Sources of Disagreement in Inflation Forecasts: An International Empirical Investigation.” Journal of International Economics 90 (1): 218–231.
75. Sicsú, J. (2002) “Inflation expectations in an inflation-targeting regime: A preliminary analysis of the Brazilian case”, Applied Economics, 6(4), 703-711.
76. Stephanos, P., Sidiropoulos, M., Spyromitros, E. (2014) “Determinants of central bank credibility and macroeconomic performance: Evidence from Eastern European and Latin American countries”, Eastern European Economics, 52(4), 5-31.
77. Svensson, L. E. (1997) “Inflation forecast targeting: Implementing and monitoring inflation targets”, European economic review, 41(6), 1111-1146.
78. Svensson, L. E. (2000a) “How should monetary policy be conducted in an era of price stability?” NBER Working Paper. (No. w7516).
79. Svensson, Lars EO. (2000b) “Open-economy inflation targeting”, Journal of international economics, 50(1), 155-183.
80. Svensson, L. E. (2003) “Monetary policy and real stabilization”, (No. w9486). National Bureau of Economic Research.
81. Svensson, L. E. O. (2011) “Inflation targeting”, Handbook of Monetary Economics, 3, 1237-1302. in B.M. Friedman and M. Woodford, eds., Handbook of Monetary Economics, vol. 3B, Amsterdam: Elsevier Press, 2011.
82. Thorbecke, W., ve Zhang, H. (2009), “Monetary Policy Surprises and Interest Rates: Choosing between the Inflation-Revelation and Excess Sensitivity Hypotheses”, Southern Economic Journal, 75(4), 1114.
83. Tronzano, M. (2005) “Inflation Targeting and Credibility: a note on the recent empirical literature”, Economia Internazionale/International Economics, 58(4), 489-506.
84. Tronzano, M., Psaradakis, Z., Sola, M. (2000) “Assessing the credibility of a target zone: Evidence from EMS countries”, Int. J. Finance & Econ. 5(2), 107.
85. Yellen, J. L. (2006) “Enhancing fed credibility”, Business Economics, 41(2), 7-13.