Research Article
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Investigation of Inflation Inertia in Turkey by Asymmetrical Methods

Year 2022, Volume: 7 Issue: Özel Sayı, 106 - 122, 24.10.2022
https://doi.org/10.30784/epfad.1152989

Abstract

One of the most important problems in front of developing economies is inflation, which is increasing, and its increase is permanent. This condition, called inflation inertia, creates deterioration in the inflation expectations of economic agents. The continuity of inflation, which also causes pricing behavior to deteriorate, narrows the policy area of the monetary authority and creates a serious obstacle to solving economic problems. Inflation inertia is examined using three nonlinear unit root tests in this study for Turkey, which suffers much more internal and external shocks than any ordinary developing economy. While two of these unit root tests consider a single structural change observed in the economic time series, the other one models multiple structural changes using the Fourier wave function. The study covers the period of January 2002 - March 2022. This study which also uses the rolling windows sampling method detects inflation stickiness periods in the last 10 years. According to the results of the analysis, it is emphasized that unit root tests considering a single structural change remained dysfunctional for Turkey, and the periods in which inertia was observed are interpreted in the economic framework.

References

  • Baillie, R.T., Chung, C.-F. and Tieslau, M.A. (1996). Analysing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics, 11(1), 23-40. https://doi.org/10.1002/(SICI)1099-1255(199601)11:1%3C23::AID-JAE374%3E3.0.CO;2-M
  • Balcılar, M. (2004). Persistence in inflation: Does aggregation cause long memory? Emerging Markets Finance and Trade, 40(5), 25-56. https://doi.org/10.1080/1540496X.2004.11052583
  • Bilici, B. and Çekin, S.E. (2020). Inflation persistence in Turkey: A TVP-estimation approach. The Quarterly Review of Economics and Finance, 78, 64-69. https://doi.org/10.1016/j.qref.2020.04.002
  • Brissimis, S. and Migiakis, P. (2011). Inflation persistence and the rationality of inflation expectations (MPRA Working Paper No. 29052). Retrieved from https://mpra.ub.uni-muenchen.de/29052/1/MPRA_paper_29052.pdf
  • Caner, M. and Hansen, B.E. (2001). Threshold autoregression with a unit root. Econometrica, 69(6), 1555-1596. https://doi.org/10.1111/1468-0262.00257
  • Christopoulos, D.K. and León-Ledesma, M.A. (2010). Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance, 29(6), 1076-1093. https://doi.org/10.1016/j.jimonfin.2010.02.003
  • Çevik, S. (2022). Breaking bad: A disaggregated analysis of inflation inertia (IMF Working Paper No. 2022-167). Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4216337
  • Çiçek, S. and Akar, C. (2013). The asymmetry of inflation adjustment in Turkey. Economic Modelling, 31, 104-118. https://doi.org/10.1016/j.econmod.2012.11.026
  • Dibooğlu, S. and Kibritçioğlu, A. (2001). Inflation, output, and stabilization in a high inflation economy: Turkey, 1980-2000 (University of Illinois Office of Research Working Paper No. 01-0112). http://dx.doi.org/10.2139/ssrn.277975
  • Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Enders, W. and Granger, C.W.J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311. https://doi.org/10.1080/07350015.1998.10524769
  • Erlat, H. (2003). Long memory in Turkish inflation rates. In E.M. Cinar (Ed.), Inflation and disinflation in Turkey (pp. 97-122). Aldershot: Ashgate.
  • Gaglianone, W.P., Guillén, O.T. de C. and Figueiredo, F.M.R. (2018). Estimating inflation persistence by quantile autoregression with quantile-specific unit roots. Economic Modelling, 73, 407-430. https://doi.org/10.1016/j.econmod.2018.04.018
  • Gottschalk, R. (2003). Testing for breaks in inertia: An alternative approach. Applied Economics Letters, 10(3), 161-163. https://doi.org/10.1080/1350485022000044048
  • Kapetanios, G., Shin, Y. and Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. https://doi.org/10.1016/S0304-4076(02)00202-6
  • Korap, L. ve Dikilitaş, S. (2019). Türkiye ekonomisindeki enflasyonist yapının değerlendirilmesine yönelik ekonometrik bir uygulama. Sosyal Ekonomik Araştırmalar Dergisi, 19(37), 62-79. https://doi.org/10.30976/susead.524756
  • Leybourne, S., Newbold, P. and Vougas, D. (1998). Unit roots and smooth transitions. Journal of Time Series Analysis, 19(1), 83-97. https://doi.org/10.1111/1467-9892.00078
  • Morales-Arias, L. and Moura, G.V. (2013). Adaptive forecasting of exchange rates with panel data. International Journal of Forecasting, 29(3), 493-509. https://doi.org/10.1016/j.ijforecast.2012.10.007
  • Özcan, K.M., Berument, H. and Neyaptı, B. (2004). Dynamics of inflation and inflation inertia in Turkey. Journal of Economic Cooperation, 25(3), 63-86. Retrieved from http://repository.bilkent.edu.tr/
  • Özcan, M. and Yurdakul, F. (2022). Threshold unit root tests with smooth transitions. In M.K. Terzioğlu (Ed.), Advances in econometrics, operational research, data science and actuarial studies (pp. 13-29). Springer International Publishing. https://doi.org/10.1007/978-3-030-85254-2_2
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. https://doi.org/10.2307/1913712
  • Roache, M.S.K. (2014). Inflation persistence in Brazil-a cross country comparison (IMF Working Paper No. 14/55). https://doi.org/10.5089/9781475585230.001
  • Şeker, H. and Demi̇rel, B. (2022). Low interest policy and inflation: An analysis based on Turkey in the frame of Neo-Fisherian approach. Fiscaoeconomia, 6(3), 949-975. https://doi.org/10.25295/fsecon.1058947
  • Tunay, K.B. (2009). Türkiye’de enflasyon sürekliliğinin ABKBHO modelleriyle analizi. Öneri Dergisi, 8(31), 249-257. https://doi.org/10.14783/maruoneri.677658
  • Turna, Y., Eşmen, S. ve Turna, B. (2022). Türkiye’ de döviz kurunun enflasyon etkisi ve fiyat yapışkanlıkları: NARDL yaklaşımı. İzmir İktisat Dergisi, 37(2), 522-535. https://doi.org/10.24988/ije.932967
  • Us, V. (2004). Inflation dynamics and monetary policy strategy: Some prospects for the Turkish economy. Journal of Policy Modelling, 26(8-9), 1003-1013. https://doi.org/10.1016/j.jpolmod.2004.07.001
  • Vougas, D.V. (2006). On unit root testing with smooth transitions. Computational Statistics & Data Analysis, 51(2), 797-800. https://doi.org/10.1016/j.csda.2006.07.015
  • Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251-270. https://doi.org/10.1080/07350015.1992.10509904

Türkiye’de Enflasyon Yapışkanlığının Asimetrik Yöntemler ile İncelenmesi

Year 2022, Volume: 7 Issue: Özel Sayı, 106 - 122, 24.10.2022
https://doi.org/10.30784/epfad.1152989

Abstract

Gelişmekte olan ekonomilerin önündeki en önemli problemlerden biri artan ve artışı hareketi kalıcı olan enflasyondur. Enflasyon yapışkanlığı olarak adlandırılan bu durum iktisadi ajanların enflasyon beklentilerinde bozulma meydana getirmektedir. Fiyatlama davranışının da bozulmasına sebep olan enflasyon sürekliliği para otoritesinin politika alanını daraltarak iktisadi problemlerin çözümü önünde ciddi bir engel oluşturmaktadır. Sıradan bir gelişmekte olan ekonomiye göre çok daha fazla iç ve dış şoklara maruz kalan Türkiye için bu çalışmada üç doğrusal olmayan birim kök sınaması kullanılarak enflasyon yapışkanlığı incelenmiştir. Bu birim kök sınamalarından ikisi iktisadi zaman serilerinde gözlenen tek bir yapısal değişimi dikkate alıyorken, diğeri Fourier dalga fonksiyonundan faydalanarak birden fazla yapısal değişimi modellemektedir. Ocak 2002-Mart 2022 dönemini kapsayan bu çalışmada, doğrusal olmayan birim kök sınamalarının ayrıca Rolling Windows örnekleme yöntemi ile de kullanıldığı çalışmada Türkiye’nin son 10 yılında enflasyon yapışkanlığı yaşanan dönemler tespit edilmiştir. Analiz sonuçlarına göre tek bir yapısal değişimi dikkate alan birim kök sınamalarının Türkiye için işlevsiz kaldığı vurgulanmış, yapışkanlığın gözlendiği dönemler iktisadi çerçevede yorumlanmıştır.

References

  • Baillie, R.T., Chung, C.-F. and Tieslau, M.A. (1996). Analysing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics, 11(1), 23-40. https://doi.org/10.1002/(SICI)1099-1255(199601)11:1%3C23::AID-JAE374%3E3.0.CO;2-M
  • Balcılar, M. (2004). Persistence in inflation: Does aggregation cause long memory? Emerging Markets Finance and Trade, 40(5), 25-56. https://doi.org/10.1080/1540496X.2004.11052583
  • Bilici, B. and Çekin, S.E. (2020). Inflation persistence in Turkey: A TVP-estimation approach. The Quarterly Review of Economics and Finance, 78, 64-69. https://doi.org/10.1016/j.qref.2020.04.002
  • Brissimis, S. and Migiakis, P. (2011). Inflation persistence and the rationality of inflation expectations (MPRA Working Paper No. 29052). Retrieved from https://mpra.ub.uni-muenchen.de/29052/1/MPRA_paper_29052.pdf
  • Caner, M. and Hansen, B.E. (2001). Threshold autoregression with a unit root. Econometrica, 69(6), 1555-1596. https://doi.org/10.1111/1468-0262.00257
  • Christopoulos, D.K. and León-Ledesma, M.A. (2010). Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance, 29(6), 1076-1093. https://doi.org/10.1016/j.jimonfin.2010.02.003
  • Çevik, S. (2022). Breaking bad: A disaggregated analysis of inflation inertia (IMF Working Paper No. 2022-167). Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4216337
  • Çiçek, S. and Akar, C. (2013). The asymmetry of inflation adjustment in Turkey. Economic Modelling, 31, 104-118. https://doi.org/10.1016/j.econmod.2012.11.026
  • Dibooğlu, S. and Kibritçioğlu, A. (2001). Inflation, output, and stabilization in a high inflation economy: Turkey, 1980-2000 (University of Illinois Office of Research Working Paper No. 01-0112). http://dx.doi.org/10.2139/ssrn.277975
  • Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Enders, W. and Granger, C.W.J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304-311. https://doi.org/10.1080/07350015.1998.10524769
  • Erlat, H. (2003). Long memory in Turkish inflation rates. In E.M. Cinar (Ed.), Inflation and disinflation in Turkey (pp. 97-122). Aldershot: Ashgate.
  • Gaglianone, W.P., Guillén, O.T. de C. and Figueiredo, F.M.R. (2018). Estimating inflation persistence by quantile autoregression with quantile-specific unit roots. Economic Modelling, 73, 407-430. https://doi.org/10.1016/j.econmod.2018.04.018
  • Gottschalk, R. (2003). Testing for breaks in inertia: An alternative approach. Applied Economics Letters, 10(3), 161-163. https://doi.org/10.1080/1350485022000044048
  • Kapetanios, G., Shin, Y. and Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. https://doi.org/10.1016/S0304-4076(02)00202-6
  • Korap, L. ve Dikilitaş, S. (2019). Türkiye ekonomisindeki enflasyonist yapının değerlendirilmesine yönelik ekonometrik bir uygulama. Sosyal Ekonomik Araştırmalar Dergisi, 19(37), 62-79. https://doi.org/10.30976/susead.524756
  • Leybourne, S., Newbold, P. and Vougas, D. (1998). Unit roots and smooth transitions. Journal of Time Series Analysis, 19(1), 83-97. https://doi.org/10.1111/1467-9892.00078
  • Morales-Arias, L. and Moura, G.V. (2013). Adaptive forecasting of exchange rates with panel data. International Journal of Forecasting, 29(3), 493-509. https://doi.org/10.1016/j.ijforecast.2012.10.007
  • Özcan, K.M., Berument, H. and Neyaptı, B. (2004). Dynamics of inflation and inflation inertia in Turkey. Journal of Economic Cooperation, 25(3), 63-86. Retrieved from http://repository.bilkent.edu.tr/
  • Özcan, M. and Yurdakul, F. (2022). Threshold unit root tests with smooth transitions. In M.K. Terzioğlu (Ed.), Advances in econometrics, operational research, data science and actuarial studies (pp. 13-29). Springer International Publishing. https://doi.org/10.1007/978-3-030-85254-2_2
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. https://doi.org/10.2307/1913712
  • Roache, M.S.K. (2014). Inflation persistence in Brazil-a cross country comparison (IMF Working Paper No. 14/55). https://doi.org/10.5089/9781475585230.001
  • Şeker, H. and Demi̇rel, B. (2022). Low interest policy and inflation: An analysis based on Turkey in the frame of Neo-Fisherian approach. Fiscaoeconomia, 6(3), 949-975. https://doi.org/10.25295/fsecon.1058947
  • Tunay, K.B. (2009). Türkiye’de enflasyon sürekliliğinin ABKBHO modelleriyle analizi. Öneri Dergisi, 8(31), 249-257. https://doi.org/10.14783/maruoneri.677658
  • Turna, Y., Eşmen, S. ve Turna, B. (2022). Türkiye’ de döviz kurunun enflasyon etkisi ve fiyat yapışkanlıkları: NARDL yaklaşımı. İzmir İktisat Dergisi, 37(2), 522-535. https://doi.org/10.24988/ije.932967
  • Us, V. (2004). Inflation dynamics and monetary policy strategy: Some prospects for the Turkish economy. Journal of Policy Modelling, 26(8-9), 1003-1013. https://doi.org/10.1016/j.jpolmod.2004.07.001
  • Vougas, D.V. (2006). On unit root testing with smooth transitions. Computational Statistics & Data Analysis, 51(2), 797-800. https://doi.org/10.1016/j.csda.2006.07.015
  • Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251-270. https://doi.org/10.1080/07350015.1992.10509904
There are 28 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Makaleler
Authors

Mehmet Özcan 0000-0001-9082-0894

Publication Date October 24, 2022
Acceptance Date October 19, 2022
Published in Issue Year 2022 Volume: 7 Issue: Özel Sayı

Cite

APA Özcan, M. (2022). Türkiye’de Enflasyon Yapışkanlığının Asimetrik Yöntemler ile İncelenmesi. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 7(Özel Sayı), 106-122. https://doi.org/10.30784/epfad.1152989