Research Article
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Year 2023, Volume: 27 Issue: 1, 35 - 62, 31.10.2023
https://doi.org/10.51945/cuiibfd.1345700

Abstract

References

  • Bari, B., & Şıklar, İ. (2021). An estimation of the open economy hybrid new Keynesian Phillips curve for Turkey. Fiscaoeconomia, 5(3), 1081-1100.
  • Baser, S., Kucuk, H., & Ogunc, F. (2013). Inflation dynamics in Turkey: In pursuit of a domestic cost measure (No. 1311). Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Baum, C. F., Schaffer, M. E., & Stillman, S. (2003). Instrumental variables and GMM: Estimation and testing. The Stata Journal, 3(1), 1-31.
  • Clark, P. K. (1987). The cyclical component of US economic activity. The Quarterly Journal of Economics, 102(4), 797-814.
  • D'Amato, L., & Garegnani, M. L. (2009). Studying the short-run dynamics of inflation: Estimating a hybrid new-keynesian Phillips Curve for Argentina (1993-2007) (Working Paper No. 2009/40), Banco Central de la República Argentina (BCRA).
  • Du Plessis, S., & Burger, R. (2006, October). A New Keynesian Phillips Curve for South Africa. In SARB conference.
  • Dupuis, D. (2004). The new Keynesian hybrid Phillips curve: An assessment of competing specifications for the United States (No. 2004-31). Bank of Canada.
  • Eruygur, A. (2011). Analysis of inflation dynamics in Turkey: a New Keynesian Phillips curve approach.
  • Faff, R., & Gray, P. (2006). On the estimation and comparison of short-rate models using the generalised method of moments. Journal of Banking & Finance, 30(11), 3131-3146.
  • Furuoka, F. (2017). A new approach to testing unemployment hysteresis. Empirical economics, 53(3), 1253-1280.
  • Furuoka, F., Pui, K. L., Chomar, M. T., & Nikitina, L. (2021). Is the Phillips curve disappearing? Evidence from a new test procedure. Applied Economics Letters, 28(6), 493-500.
  • Gali, J., & Gertler, M. (1999). Inflation dynamics: A structural econometric analysis. Journal of monetary Economics, 44(2), 195-222.
  • Guay, A., & Pelgrin, F. (2004). The US new Keynesian Phillips curve: An empirical assessment (Working Paper No. 2004-35). Bank of Canada.
  • Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: Journal of the Econometric Society, 50(4), 1029-1054.
  • Hansen, L. P., & Sargent, T. J. (1980). Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and control, 2, 7-46.
  • Harvey, A. C. (1985). Trends and cycles in macroeconomic time series. Journal of Business & Economic Statistics, 3(3), 216-227.
  • Imbens, G. W. (2002). Generalized method of moments and empirical likelihood. Journal of Business & Economic Statistics, 20(4), 493-506.
  • Johnston, J., & Dinardo, J. (1997). Econometric methods (4th ed.). McGraw-Hill Companies, Inc.
  • Jondeau, E., & Le Bihan, H. (2005). Testing for the new Keynesian Phillips curve. Additional international evidence. Economic Modelling, 22(3), 521-550.
  • Korkmaz, S. (2010). Yeni Keynesyen Phillips Eğrisinin Türkiye’ye Uygulanması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 6(11), 141-162.
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 54(1-3), 159-178.
  • MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of applied econometrics, 11(6), 601-618.
  • Narayan, S., Cirikisuva, S., & Naivutu, R. (2023). A hybrid NKPC inflation model for the small Island state of Fiji. Economic Analysis and Policy, 78, 873-886.
  • Nason, J. M., & Smith, G. W. (2005). Identifying the new Keynesian Phillips curve (No. 1026). Queen's Economics Department Working Paper.
  • Nason, J. M., & Smith, G. W. (2008). Identifying the new Keynesian Phillips curve. Journal of Applied Econometrics, 23(5), 525-551.
  • Perron, P., & Vogelsang, T. J. (1992). Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business & Economic Statistics, 10(3), 301-320.
  • Sümer, A. L. (2020). Discussion of hybrid new Keynesian Phillips curve methodology on inflation dynamics. İşletme Ekonomi ve Yönetim Araştırmaları Dergisi, 3(2), 254-260.

An Assessment of Turkish Inflation Dynamics Based on Phillips Curve Variants With Import Price Index

Year 2023, Volume: 27 Issue: 1, 35 - 62, 31.10.2023
https://doi.org/10.51945/cuiibfd.1345700

Abstract

This study aims to present an assessment on Phillips curve models based on import price index in order to account for inflation dynamics in Turkey over the period 2002Q1:2021Q1 by employing state-space approach in potential output computations. In order to deal with the expectation terms in estimating equations and to avoid the associated endogeneity issue, the Generalized Method of Moments (GMM) technique has been used, and two distinct measures of output gap based on Hodrick-Prescott filter and Kalman Filter algorithm have been performed. First, the time varying slope coefficients regarding traditional hybrid Phillips curve (PC) have been estimated through rolling window approach for Turkey. Then, two variants of the hybrid PCs have been formulated by including import price index regressor to all of them and the forecasting performances of the models have been evaluated.

References

  • Bari, B., & Şıklar, İ. (2021). An estimation of the open economy hybrid new Keynesian Phillips curve for Turkey. Fiscaoeconomia, 5(3), 1081-1100.
  • Baser, S., Kucuk, H., & Ogunc, F. (2013). Inflation dynamics in Turkey: In pursuit of a domestic cost measure (No. 1311). Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Baum, C. F., Schaffer, M. E., & Stillman, S. (2003). Instrumental variables and GMM: Estimation and testing. The Stata Journal, 3(1), 1-31.
  • Clark, P. K. (1987). The cyclical component of US economic activity. The Quarterly Journal of Economics, 102(4), 797-814.
  • D'Amato, L., & Garegnani, M. L. (2009). Studying the short-run dynamics of inflation: Estimating a hybrid new-keynesian Phillips Curve for Argentina (1993-2007) (Working Paper No. 2009/40), Banco Central de la República Argentina (BCRA).
  • Du Plessis, S., & Burger, R. (2006, October). A New Keynesian Phillips Curve for South Africa. In SARB conference.
  • Dupuis, D. (2004). The new Keynesian hybrid Phillips curve: An assessment of competing specifications for the United States (No. 2004-31). Bank of Canada.
  • Eruygur, A. (2011). Analysis of inflation dynamics in Turkey: a New Keynesian Phillips curve approach.
  • Faff, R., & Gray, P. (2006). On the estimation and comparison of short-rate models using the generalised method of moments. Journal of Banking & Finance, 30(11), 3131-3146.
  • Furuoka, F. (2017). A new approach to testing unemployment hysteresis. Empirical economics, 53(3), 1253-1280.
  • Furuoka, F., Pui, K. L., Chomar, M. T., & Nikitina, L. (2021). Is the Phillips curve disappearing? Evidence from a new test procedure. Applied Economics Letters, 28(6), 493-500.
  • Gali, J., & Gertler, M. (1999). Inflation dynamics: A structural econometric analysis. Journal of monetary Economics, 44(2), 195-222.
  • Guay, A., & Pelgrin, F. (2004). The US new Keynesian Phillips curve: An empirical assessment (Working Paper No. 2004-35). Bank of Canada.
  • Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: Journal of the Econometric Society, 50(4), 1029-1054.
  • Hansen, L. P., & Sargent, T. J. (1980). Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and control, 2, 7-46.
  • Harvey, A. C. (1985). Trends and cycles in macroeconomic time series. Journal of Business & Economic Statistics, 3(3), 216-227.
  • Imbens, G. W. (2002). Generalized method of moments and empirical likelihood. Journal of Business & Economic Statistics, 20(4), 493-506.
  • Johnston, J., & Dinardo, J. (1997). Econometric methods (4th ed.). McGraw-Hill Companies, Inc.
  • Jondeau, E., & Le Bihan, H. (2005). Testing for the new Keynesian Phillips curve. Additional international evidence. Economic Modelling, 22(3), 521-550.
  • Korkmaz, S. (2010). Yeni Keynesyen Phillips Eğrisinin Türkiye’ye Uygulanması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 6(11), 141-162.
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 54(1-3), 159-178.
  • MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of applied econometrics, 11(6), 601-618.
  • Narayan, S., Cirikisuva, S., & Naivutu, R. (2023). A hybrid NKPC inflation model for the small Island state of Fiji. Economic Analysis and Policy, 78, 873-886.
  • Nason, J. M., & Smith, G. W. (2005). Identifying the new Keynesian Phillips curve (No. 1026). Queen's Economics Department Working Paper.
  • Nason, J. M., & Smith, G. W. (2008). Identifying the new Keynesian Phillips curve. Journal of Applied Econometrics, 23(5), 525-551.
  • Perron, P., & Vogelsang, T. J. (1992). Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business & Economic Statistics, 10(3), 301-320.
  • Sümer, A. L. (2020). Discussion of hybrid new Keynesian Phillips curve methodology on inflation dynamics. İşletme Ekonomi ve Yönetim Araştırmaları Dergisi, 3(2), 254-260.
There are 27 citations in total.

Details

Primary Language English
Subjects Mathematical Economics
Journal Section Research Articles
Authors

Sera Şanlı 0000-0002-4827-1032

Early Pub Date October 30, 2023
Publication Date October 31, 2023
Submission Date August 18, 2023
Acceptance Date October 24, 2023
Published in Issue Year 2023 Volume: 27 Issue: 1

Cite

APA Şanlı, S. (2023). An Assessment of Turkish Inflation Dynamics Based on Phillips Curve Variants With Import Price Index. Çukurova Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 27(1), 35-62. https://doi.org/10.51945/cuiibfd.1345700