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ANALYSIS OF PRICE RIGITIY IN TURKEY BY FAVAR

Year 2018, Volume: 36 Issue: 4, 75 - 94, 30.12.2018
https://doi.org/10.17065/huniibf.292785

Abstract

New Keynesian economic
theory is built on the assumption that prices and wages are sticky. Despite the
aggregate data supporting the sticky prices assumption, micro data indicate
that disagregated prices change much faster than conventionally assumed. In
order to explain the disgreement between macro and micro data, we developed a
FAVAR model (Bernanke, Boivin ve Eliasz, 2005) and computed the common and
sector specific components for Turkish economy from 2005:01 to 2014:12. Our
analysis revealed that share of common components in price setting process in
Turkey is inconsistent with high degree of price rigidity. 

References

  • Abdioğlu, Z.: (2010).Yeni Keynesyenlerde Fiyat ve Ücret Katılıkları: Türkiye Örneği, Doktora Tezi, Karadeniz Teknik Üniversitesi
  • Alvarez, L.J. ve Dhyne, E., H. (2005). Sticky Prices in the Euro Area: A summary of new Micro Evidence, ECB Working Paper, No: 63.
  • Bai, J., Kunpeng, L., Lu, L. (2014).Estimation and Inference of FAVAR Models, MPRA Paper No. 60960, Erişim adresi Online: http://mpra.ub.uni-muenchen.de/60960/
  • Belke, A., Rees, A. (2014).Globalization and Monetary Policy – A FAVAR analysis for the G7 and the eurozone, The North American Journal of Economics and Finance, 29, 306-321.
  • Bernanke, B., Blinder A. (1992).The Federal Funds Rate and the Channels of Monetary Transmission, American Economic Review, 82, 901-921.
  • Bernanke, B., Gertler, M., Watson, M. (1997).Systematic Monetary Policy And The Effects Of Oil Price Shocks, Brookings Papers On Economic Activity, 1997:1, 91-142
  • Bernanke, B., Mihov, I. (1998).The Liquidity Effect And Long-Run Neutrality, Carnegie Rochester Conference Series On Public Policy, 49, 149-194.
  • Bernanke, B., Boivin, J. (2003).Monetary Policy İn A Data-Rich Environment, Journal Of Monetary Economics, 50:3, 525-546.
  • Bernanke, B., Boivin, J., Elıasz, P. (2005).Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach., Quarterly Journal of Economics, 120(1), 387-422.
  • Bils, M., Klenow, P. J. (2004).Some Evidence On The Importance Of Sticky Prices, Journal Of Political Economy, 112(5), 947-985.
  • Boivin, J., Giannoni, M. P., Mihov, I. (2009).Sticky Prices And Monetary Policy: Evidence From Disaggregated Us Data, American Economic Review, 99:1, 350-384.
  • Boivin, J., Ng, S. (2005).Understanding And Comparing Factor-Based Forecasts, International Journal Of Central Banking, 1(3), 117-151.
  • Calvo, G. A. (1983).Staggered Prices İn A Utility-Maximizing Framework, Journal Of Monetary Economics, 12, 383-398.
  • Fernald, J.G., Spiegel, M.M., Swanson, E.T. (2014).Monetary policy effectiveness in China: Evidence from a FAVAR model, Journal of International Money and Finance, 49(A), 83-103
  • Fischer, S. (1977) Long-Term Contracts, Rational Expectations, and the Optimal Mone Supply Rule, Journal of Political Economy, 85(1), 191-205.
  • Fukawa, K.: (2012). Estimation of an empirical FAVAR model and DSGE model for evaluating effects of government spending in Japan, Doktora tezi, City University of New York
  • Golosov, M., Lucas R.E. (2007). Menu Costs and Phillips Curves, Journal of Political Economy, 115, 171-199.
  • Gupta, R., Jurgias, M., Kabundi, A. (2010). The Effect of Monetary Policy on Real House Price Growth in South Africa: A Factor-Augmented Vector Autoregressin (FAVAR) Approach, Economic Modelling, 27(1), 315-323.
  • Kashyap, A. K. (1995). Sticky Prices: New Evidence From Retail Catalogs, Quarterly Journal Of Economics, 100(1), 245-274.
  • Klenow, P. J., Kryvtsov, O., (2008).State-Dependent Or Time-Dependent Pricing: Does It Matter For Recent U.S. Inflation?, Quarterly Journal Of Economics, 123(3), 863-904.
  • Kydland, F.E., Prescott, E.C. (1982).The Computational Experiment: An Econometric Tool, Journal Of Economic Perspectives, 10(1), 69-85.
  • Levy, D., Müller, G., Chen, Haipeng A., Bergen, M. E., And Dutta, S., (2008). Holiday Price Rigidity And Cost Of Price, Adjustment,Emory Law And Economics Research, Paper No. 06-13; Bar Ilan Univ. Pub Law Working Paper No. 06-1.
  • Lagana, G., Sgro, P.M. (2011).A factor-augmented VAR approach: The efffect of a rise in the US personal income tax rate on the US and Canada, Economic Modelling, 28(3), 1163-1169.
  • Macdonald, J. M., Aaronson, D., (2000). How Do Retail Prices React To Minimum Wage Increases?”, Federal Reserve Bank Of Chicago Working Paper, Wp-00-20.
  • Özmen, M.U., Sevinç, O. (2011). Price Rigidity in Turkey: Evidence from Micro Data, TCMB Working Paper, No: 11/25.
  • Sılva, C.V.:(2008). The effect of monetary policy on housing: a factor-augmented vector autoregression (FAVAR) approach, Applied Economics Letters, 15(10), 749-752.
  • Sims, C.A (1992). Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy, European Economic Review, 36, 975-1000
  • Sims, C., Zha, T. (1998). Does Monetary Policy Generate Recessions? Federal Reserve Bank of Atlanta.
  • Stock, J.H.; Watson, M. W. (2002). Has the Business Cycle Changed and Why?, NBER Working Papers 9127, National Bureau of Economic Research, Inc.
  • Taylor, J.B. (1979).“Monetary Policy During a Transition to Rational Expectations”, Journal of Political Economy, 69, 108-113.
  • Vasishtha, G., Maier, P. (2013).The impact of the global business cycle on small open economies: A FAVAR approach for Canada, The North American Journal of Economics and Finance, 24, 191-207.

TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ

Year 2018, Volume: 36 Issue: 4, 75 - 94, 30.12.2018
https://doi.org/10.17065/huniibf.292785

Abstract

Fiyatların ve ücretlerin katı olduğu varsayımı
üzerine inşa edilmiş Yeni Keynesyen iktisat teorisine göre para nötr değildir
ve parasal genişleme ekonomide reel sonuçlar üretir. Her ne kadar
toplulaştırılmış veriler fiyat katılığı varsayımını desteklese de, mikro
veriler incelendiğinde toplulaştırılmamış fiyatların geleneksel olarak varsayılandan
çok daha değişken olduğu görülmüştür. Makro ve mikro veriler arasındaki bu
uyumsuzluğu açıklamak için, bir FAVAR modeli (Bernanke, Boivin ve Eliasz, 2005)
geliştirilmiş ve fiyat değişimlerinde sektöre özgü ve ortak bileşenlerin payı
2005:01-2014:12 ekonomik verileri kullanılarak hesaplanmıştır. Yaptığımız bu
analize göre, Türkiye’de fiyatların belirlenmesinde ortak bileşenlerin payı,
yüksek bir fiyat katılık derecesine imkan vermeyecek kadar büyüktür. 

References

  • Abdioğlu, Z.: (2010).Yeni Keynesyenlerde Fiyat ve Ücret Katılıkları: Türkiye Örneği, Doktora Tezi, Karadeniz Teknik Üniversitesi
  • Alvarez, L.J. ve Dhyne, E., H. (2005). Sticky Prices in the Euro Area: A summary of new Micro Evidence, ECB Working Paper, No: 63.
  • Bai, J., Kunpeng, L., Lu, L. (2014).Estimation and Inference of FAVAR Models, MPRA Paper No. 60960, Erişim adresi Online: http://mpra.ub.uni-muenchen.de/60960/
  • Belke, A., Rees, A. (2014).Globalization and Monetary Policy – A FAVAR analysis for the G7 and the eurozone, The North American Journal of Economics and Finance, 29, 306-321.
  • Bernanke, B., Blinder A. (1992).The Federal Funds Rate and the Channels of Monetary Transmission, American Economic Review, 82, 901-921.
  • Bernanke, B., Gertler, M., Watson, M. (1997).Systematic Monetary Policy And The Effects Of Oil Price Shocks, Brookings Papers On Economic Activity, 1997:1, 91-142
  • Bernanke, B., Mihov, I. (1998).The Liquidity Effect And Long-Run Neutrality, Carnegie Rochester Conference Series On Public Policy, 49, 149-194.
  • Bernanke, B., Boivin, J. (2003).Monetary Policy İn A Data-Rich Environment, Journal Of Monetary Economics, 50:3, 525-546.
  • Bernanke, B., Boivin, J., Elıasz, P. (2005).Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach., Quarterly Journal of Economics, 120(1), 387-422.
  • Bils, M., Klenow, P. J. (2004).Some Evidence On The Importance Of Sticky Prices, Journal Of Political Economy, 112(5), 947-985.
  • Boivin, J., Giannoni, M. P., Mihov, I. (2009).Sticky Prices And Monetary Policy: Evidence From Disaggregated Us Data, American Economic Review, 99:1, 350-384.
  • Boivin, J., Ng, S. (2005).Understanding And Comparing Factor-Based Forecasts, International Journal Of Central Banking, 1(3), 117-151.
  • Calvo, G. A. (1983).Staggered Prices İn A Utility-Maximizing Framework, Journal Of Monetary Economics, 12, 383-398.
  • Fernald, J.G., Spiegel, M.M., Swanson, E.T. (2014).Monetary policy effectiveness in China: Evidence from a FAVAR model, Journal of International Money and Finance, 49(A), 83-103
  • Fischer, S. (1977) Long-Term Contracts, Rational Expectations, and the Optimal Mone Supply Rule, Journal of Political Economy, 85(1), 191-205.
  • Fukawa, K.: (2012). Estimation of an empirical FAVAR model and DSGE model for evaluating effects of government spending in Japan, Doktora tezi, City University of New York
  • Golosov, M., Lucas R.E. (2007). Menu Costs and Phillips Curves, Journal of Political Economy, 115, 171-199.
  • Gupta, R., Jurgias, M., Kabundi, A. (2010). The Effect of Monetary Policy on Real House Price Growth in South Africa: A Factor-Augmented Vector Autoregressin (FAVAR) Approach, Economic Modelling, 27(1), 315-323.
  • Kashyap, A. K. (1995). Sticky Prices: New Evidence From Retail Catalogs, Quarterly Journal Of Economics, 100(1), 245-274.
  • Klenow, P. J., Kryvtsov, O., (2008).State-Dependent Or Time-Dependent Pricing: Does It Matter For Recent U.S. Inflation?, Quarterly Journal Of Economics, 123(3), 863-904.
  • Kydland, F.E., Prescott, E.C. (1982).The Computational Experiment: An Econometric Tool, Journal Of Economic Perspectives, 10(1), 69-85.
  • Levy, D., Müller, G., Chen, Haipeng A., Bergen, M. E., And Dutta, S., (2008). Holiday Price Rigidity And Cost Of Price, Adjustment,Emory Law And Economics Research, Paper No. 06-13; Bar Ilan Univ. Pub Law Working Paper No. 06-1.
  • Lagana, G., Sgro, P.M. (2011).A factor-augmented VAR approach: The efffect of a rise in the US personal income tax rate on the US and Canada, Economic Modelling, 28(3), 1163-1169.
  • Macdonald, J. M., Aaronson, D., (2000). How Do Retail Prices React To Minimum Wage Increases?”, Federal Reserve Bank Of Chicago Working Paper, Wp-00-20.
  • Özmen, M.U., Sevinç, O. (2011). Price Rigidity in Turkey: Evidence from Micro Data, TCMB Working Paper, No: 11/25.
  • Sılva, C.V.:(2008). The effect of monetary policy on housing: a factor-augmented vector autoregression (FAVAR) approach, Applied Economics Letters, 15(10), 749-752.
  • Sims, C.A (1992). Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy, European Economic Review, 36, 975-1000
  • Sims, C., Zha, T. (1998). Does Monetary Policy Generate Recessions? Federal Reserve Bank of Atlanta.
  • Stock, J.H.; Watson, M. W. (2002). Has the Business Cycle Changed and Why?, NBER Working Papers 9127, National Bureau of Economic Research, Inc.
  • Taylor, J.B. (1979).“Monetary Policy During a Transition to Rational Expectations”, Journal of Political Economy, 69, 108-113.
  • Vasishtha, G., Maier, P. (2013).The impact of the global business cycle on small open economies: A FAVAR approach for Canada, The North American Journal of Economics and Finance, 24, 191-207.
There are 31 citations in total.

Details

Journal Section Articles
Authors

Bige Küçükefe

Dündar Murat Demiröz

Publication Date December 30, 2018
Submission Date February 17, 2017
Published in Issue Year 2018 Volume: 36 Issue: 4

Cite

APA Küçükefe, B., & Demiröz, D. M. (2018). TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 36(4), 75-94. https://doi.org/10.17065/huniibf.292785
AMA Küçükefe B, Demiröz DM. TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. December 2018;36(4):75-94. doi:10.17065/huniibf.292785
Chicago Küçükefe, Bige, and Dündar Murat Demiröz. “TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 36, no. 4 (December 2018): 75-94. https://doi.org/10.17065/huniibf.292785.
EndNote Küçükefe B, Demiröz DM (December 1, 2018) TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 36 4 75–94.
IEEE B. Küçükefe and D. M. Demiröz, “TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 36, no. 4, pp. 75–94, 2018, doi: 10.17065/huniibf.292785.
ISNAD Küçükefe, Bige - Demiröz, Dündar Murat. “TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 36/4 (December 2018), 75-94. https://doi.org/10.17065/huniibf.292785.
JAMA Küçükefe B, Demiröz DM. TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2018;36:75–94.
MLA Küçükefe, Bige and Dündar Murat Demiröz. “TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 36, no. 4, 2018, pp. 75-94, doi:10.17065/huniibf.292785.
Vancouver Küçükefe B, Demiröz DM. TÜRKİYE EKONOMİSİ FİYAT KATILIKLARININ FAVAR MODELİ İLE ANALİZİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2018;36(4):75-94.

Cited By

RASYONEL DİKKATSİZLİK MODELİ VE FİYAT KATILIKLARI
Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Bige Kucukefe
https://doi.org/10.25287/ohuiibf.297986

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