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THE ASYMMETRIC RELATIONSHIP BETWEEN ACTUAL INFLATION AND INFLATION EXPECTATION IN TURKEY

Yıl 2021, Sayı: 41, 184 - 203, 31.12.2021

Öz

Determining the relationship between inflation and inflation expectations is important in terms of determining the policy stance, credibility and cost of policy actions of central bank which is the implements an inflation targeting regime. In this study, the asymmetric relationship between expected inflation and actual inflation in Turkey was examined with the Nonlinear Aoutoregressive Distrubuted Lag (NARDL) model using monthly data fort he period of 2016 January- 2021 March. The findings show that there are both long term and short term asymmetric relationship between expected inflation and actual inflation. According to estimation results, a %1 increase in actual inflation increases inflation expectations by about %0.61, while a %1 decrease in actual inflations reduces expected inflations by %0.64. On the other hand, it is among the findings that a %1 increase in exchange rates increases expected inflations by %0.52

Kaynakça

  • Başkaya, S. Y., Kara , H., & Mutluer , D. (2008). Expectations, Communication and Monetary Policy in Turkey. Türkiye Cumhuriyet Merkez Bankası Çalışma Tebliği, 08(01), 1-35.
  • Başkaya, Y. S., Gülşen , E., & Kara , H. (2012). Inflation expectations and central bank communication in Turkey. Central Bank Review, 12(2), 1-10.
  • Başkaya, Y. S., Gülşen , E., & Orak, M. (2010). 2008 Hedef Revizyonu Öncesi ve Sonrasında Enflasyon Beklentileri. TCMB Ekonomi Notları(2010-1), 1-6.
  • Berk, J. M. (2002). ONSUMERS'INFLATION EXPECTATIONS AND MONETARY POLICY IN EUROPE. Contemporary Economic Policy, 20(2), 122-132.
  • Carlson, J., & Parkin, M. (1975). Inflation expectations. Economica, 42(166), 123-138.
  • Clark, T., & Davig, T. (2008). An empirical assessment of the relationships among inflation and short-and long-term expectations. Federal Reserve Bank of Kansas City Research Working Paper, 05(08).
  • Coibion, O., Grodnichenko, Y., Kumar, S., & Pedemonte, M. (2020). Inflation expectations as a policy tool? Journal of International Economics, 1-24.
  • Çiçek, S., Akar, C., & Yücel , E. (2011). Türkiye'de Enflasyon Beklentilerinin Çapalanması ve Güvenilirlik. İktisat İşletme ve Finans, 26(304), 37-55. doi:10.3848/iif.2011.304.3044
  • Feldkircher, M., & Siklos, P. (2019). Global inflation dynamics and inflation expectations. International. Review of Economics & Finance(64), 217-241.
  • Fritzer, F., & Rumler, F. (2015). Determinants of inflation perceptions and expectations: An empirical analysis for Austria. Monetary Policy & the Economy, 11-26.
  • Greenwood*Nimmo, M., Shin , Y., & Van Treeck, T. (2012). e asymmetric ARDL model with multiple unknown threshold decompositions: An application to the Phillips curve in Canada. In The Leeds University Business School Working Paper Series.
  • Gürkaynak, R. S., Levin, A., & Swanson, E. (2010). Does inflation targeting anchor long-run inflation expectations? Evidence from the US, UK, and Sweden. Journal of the European Economic Association, 8(6), 1208-1242.
  • Ireland, P. (2000). Expectations, Credibility, and Time-Consistent Monetary Policy. In: Macroeconomic. Macroeconomic Dynamics, 4(4), 448-466.
  • Johnson, D. (1997). Expected inflation in Canada 1988-1995: an evaluation of Bank of Canada credibility and the effect of inflation targets. Canadian Public Policy/Analyse de Politiques, 233-258.
  • Kabundi, A., & Schalling, E. (2013). Inflation and Inflation Expectations in S outh A frica: an Attempt at Explanation. outh African Journal of Economics, 81(3), 346-355.
  • Kara, H., & Öğünç, F. (2007). Targeting and the Exchange Rate Pass- Through: The Turkish Experience. Emerging Markets Finance, 37, 51-71.
  • Kelly, R. (2008). The causal relationship between inflation and inflation expectations in the United Kingdom. External MPC Unit Discussion Paper(24).
  • Kydland, F., & Prescott, E. (1977). Rules rather than discretion: The inconsistency of optimal plans. Journal of political economy, 85(3), 473-491.
  • Lee, K. (1994). Formation of price and cost inflation expectations in British manufacturing industries: A multi-sectoral analysis. The Economic Journal, 104(423), 372- 385.
  • Mankiw, G. N., Reis, R., & Wolfers, J. (2003). Disagreement about inflation expectations. NBER macroeconomics annual, 209-248.
  • Miskhin, F. S. (2007). Inflation Dynamics. International Finance, 317-334.
  • Muth, J. (1961). Rational expectations and the theory of price movements. Econometrica: Journal of Econometric Society, 315-335.
  • Özata, E. (2019). Türkiye’de Döviz Kuru Geçişkenliğinin Asimetrik Analizi. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 20(2), 213-232.
  • Patra , M., & Ray, P. (2010). nflation expectations and monetary policy in India: An empirical exploration. International Monetary Fund.
  • Peseran , H., Shin, Y., & Smith, R. (2001). Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics, 16(3), 289-326.
  • Roberts, J. (1998). Inflation expectations and the transmission of monetary policy. Available at SSRN 141651, 1-27.
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. New York: Springer.
  • Snowdon, B., & Vane , H. (2012). Modern Makroekonomi. Ankara: Efil Yayınevi.
  • Svensson, L. E. (1997). Inflation forecast targeting: Implementing and monitoring inflation targets. European Economic Review, 41(6), 1111-1146.
  • Yılmaz , C. B. (2012). Türkiye’de Enflasyon Beklentilerini Belirleyen Makroekonomik Unsurlar.

TÜRKİYE’DE BEKLENEN ENFLASYON ile GERÇEKLEŞEN ENFLASYON ARASINDAKİ ASİMETRİK İLİŞKİ

Yıl 2021, Sayı: 41, 184 - 203, 31.12.2021

Öz

Enflasyon ile enflasyon beklentileri arasındaki ilişkinin belirlenmesi, enflasyon hedeflemesi rejimi uygulayan bir merkez bankasının politika duruşunun, güvenilirliğinin ve politika eylemlerinin maliyetlerinin belirlenebilmesi açısından önem teşkil etmektedir. Bu çalışmada Türkiye’de beklenen enflasyon ile gerçekleşen enflasyon arasındaki asimetrik ilişki 2016 Ocak-2021 Mart dönemi için aylık veriler kullanılarak Doğrusal Olmayan Otoregresif Dağıtılmış Gecikme Modeli (NARDL) ile incelenmiştir. Elde edilen bulgular, gerçekleşen enflasyon ile beklenen enflasyon arasında hem uzun hem de kısa dönemli asimetrik ilişkilerin olduğu yönündedir. Tahmin sonuçlarına göre gerçekleşen enflasyondaki %1’lik bir artış enflasyon beklentilerini yaklaşık %0.61 arttırırken, gerçekleşen enflasyondaki %1’lik bir azalış enflasyon beklentilerini %0.64 azaltmaktadır. Öte yandan döviz kurundaki %1’lik bir artışın enflasyon beklentilerini %0.52 arttırdığı elde edilen bulgular arasındadır.

Kaynakça

  • Başkaya, S. Y., Kara , H., & Mutluer , D. (2008). Expectations, Communication and Monetary Policy in Turkey. Türkiye Cumhuriyet Merkez Bankası Çalışma Tebliği, 08(01), 1-35.
  • Başkaya, Y. S., Gülşen , E., & Kara , H. (2012). Inflation expectations and central bank communication in Turkey. Central Bank Review, 12(2), 1-10.
  • Başkaya, Y. S., Gülşen , E., & Orak, M. (2010). 2008 Hedef Revizyonu Öncesi ve Sonrasında Enflasyon Beklentileri. TCMB Ekonomi Notları(2010-1), 1-6.
  • Berk, J. M. (2002). ONSUMERS'INFLATION EXPECTATIONS AND MONETARY POLICY IN EUROPE. Contemporary Economic Policy, 20(2), 122-132.
  • Carlson, J., & Parkin, M. (1975). Inflation expectations. Economica, 42(166), 123-138.
  • Clark, T., & Davig, T. (2008). An empirical assessment of the relationships among inflation and short-and long-term expectations. Federal Reserve Bank of Kansas City Research Working Paper, 05(08).
  • Coibion, O., Grodnichenko, Y., Kumar, S., & Pedemonte, M. (2020). Inflation expectations as a policy tool? Journal of International Economics, 1-24.
  • Çiçek, S., Akar, C., & Yücel , E. (2011). Türkiye'de Enflasyon Beklentilerinin Çapalanması ve Güvenilirlik. İktisat İşletme ve Finans, 26(304), 37-55. doi:10.3848/iif.2011.304.3044
  • Feldkircher, M., & Siklos, P. (2019). Global inflation dynamics and inflation expectations. International. Review of Economics & Finance(64), 217-241.
  • Fritzer, F., & Rumler, F. (2015). Determinants of inflation perceptions and expectations: An empirical analysis for Austria. Monetary Policy & the Economy, 11-26.
  • Greenwood*Nimmo, M., Shin , Y., & Van Treeck, T. (2012). e asymmetric ARDL model with multiple unknown threshold decompositions: An application to the Phillips curve in Canada. In The Leeds University Business School Working Paper Series.
  • Gürkaynak, R. S., Levin, A., & Swanson, E. (2010). Does inflation targeting anchor long-run inflation expectations? Evidence from the US, UK, and Sweden. Journal of the European Economic Association, 8(6), 1208-1242.
  • Ireland, P. (2000). Expectations, Credibility, and Time-Consistent Monetary Policy. In: Macroeconomic. Macroeconomic Dynamics, 4(4), 448-466.
  • Johnson, D. (1997). Expected inflation in Canada 1988-1995: an evaluation of Bank of Canada credibility and the effect of inflation targets. Canadian Public Policy/Analyse de Politiques, 233-258.
  • Kabundi, A., & Schalling, E. (2013). Inflation and Inflation Expectations in S outh A frica: an Attempt at Explanation. outh African Journal of Economics, 81(3), 346-355.
  • Kara, H., & Öğünç, F. (2007). Targeting and the Exchange Rate Pass- Through: The Turkish Experience. Emerging Markets Finance, 37, 51-71.
  • Kelly, R. (2008). The causal relationship between inflation and inflation expectations in the United Kingdom. External MPC Unit Discussion Paper(24).
  • Kydland, F., & Prescott, E. (1977). Rules rather than discretion: The inconsistency of optimal plans. Journal of political economy, 85(3), 473-491.
  • Lee, K. (1994). Formation of price and cost inflation expectations in British manufacturing industries: A multi-sectoral analysis. The Economic Journal, 104(423), 372- 385.
  • Mankiw, G. N., Reis, R., & Wolfers, J. (2003). Disagreement about inflation expectations. NBER macroeconomics annual, 209-248.
  • Miskhin, F. S. (2007). Inflation Dynamics. International Finance, 317-334.
  • Muth, J. (1961). Rational expectations and the theory of price movements. Econometrica: Journal of Econometric Society, 315-335.
  • Özata, E. (2019). Türkiye’de Döviz Kuru Geçişkenliğinin Asimetrik Analizi. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 20(2), 213-232.
  • Patra , M., & Ray, P. (2010). nflation expectations and monetary policy in India: An empirical exploration. International Monetary Fund.
  • Peseran , H., Shin, Y., & Smith, R. (2001). Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics, 16(3), 289-326.
  • Roberts, J. (1998). Inflation expectations and the transmission of monetary policy. Available at SSRN 141651, 1-27.
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. New York: Springer.
  • Snowdon, B., & Vane , H. (2012). Modern Makroekonomi. Ankara: Efil Yayınevi.
  • Svensson, L. E. (1997). Inflation forecast targeting: Implementing and monitoring inflation targets. European Economic Review, 41(6), 1111-1146.
  • Yılmaz , C. B. (2012). Türkiye’de Enflasyon Beklentilerini Belirleyen Makroekonomik Unsurlar.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Burak Buyun 0000-0003-2594-7287

Yayımlanma Tarihi 31 Aralık 2021
Yayımlandığı Sayı Yıl 2021 Sayı: 41

Kaynak Göster

APA Buyun, B. (2021). TÜRKİYE’DE BEKLENEN ENFLASYON ile GERÇEKLEŞEN ENFLASYON ARASINDAKİ ASİMETRİK İLİŞKİ. Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(41), 184-203.

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