STOCHASTIC DETERMINANTS OF INFLATION: A NARDL APPROACH FOR TURKISH ECONOMY

Year 2018, Volume: 5 Issue: 4, 57 - 74, 26.10.2018

Mahmut Şaban Afsal , İbrahim Doğan , Emre Örün Bayram Aydın

https://doi.org/10.15637/jlecon.261

Abstract

In the economic literature, there is no consensus on the direction of the relationship between interest and inflation in the context of economic policies. In addition to the recent high inflation rates in the Turkish economy, nominal interest rates also have an increasing trend. Therefore, the relationship between inflation and nominal interest rates was examined as asymmetrical for the Turkish economy in the study. At this point, the nonlinear boundary test approach (NARDL) was used for the 2004:01-2018:05 data period due to the possibility of long term nonlinear relations between inflation and interest. The exchange rate and the budget balance, which can be effective in determining the inflation rate, are also included in the model as control variables. According to the analysis findings, there is long-term asymmetric cointegration relationship between variables. It was concluded that while inflation and nominal interest rates have symmetrical relationship in the short run, they have asymmetric relationship in the long run. When the relationship between budget balance and inflation is examined, the results support the Ricardian approach. 

Keywords

Inflation Rate, Interest Rate, NARDL, Asymmetric Effect

ENFLASYONUN STOKASTİK BELİRLEYİCİLERİ: TÜRKİYE EKONOMİSİ İÇİN BİR NARDL YAKLAŞIMI

Abstract

İktisat yazınında, iktisat politikaları bağlamında faiz ile enflasyon arasındaki ilişkinin yönü konusunda bir uzlaşma sağlanamamıştır. Türkiye ekonomisinde son dönemlerde görülen yüksek enflasyon oranlarının yanı sıra nominal faizlerin de artan bir eğilime sahip olması dolayısıyla, çalışmada Türkiye ekonomisi için enflasyon ve nominal faiz oranları arasındaki ilişki asimetrik olarak incelenmiştir. Bu noktada, çalışmada enflasyon ve faiz arasında uzun dönemde asimetrik ilişkilerin var olma ihtimali nedeniyle 2004:01-2018:05 veri dönemi için asimetrik sınır testi yaklaşımı (NARDL) kullanılmıştır. Enflasyon oranının belirlenmesinde etkili olabilen döviz kuru ve bütçe dengesi de kontrol değişken olarak modele dâhil edilmiştir. Çözümleme bulgularına göre, değişkenler arasında uzun dönem asimetrik bir eşbütünleşme ilişkisinin var olduğu tespit edilmiştir. Enflasyon ile nominal faiz oranları arasında kısa dönemde simetrik, uzun dönemde asimetrik bir ilişki olduğu sonucuna ulaşılmıştır. Bütçe dengesi ile enflasyon arasındaki ilişki incelendiğinde ise Ricardocu görüşü destekler nitelikte bulgulara ulaşılmıştır. 

Keywords

Enflasyon Oranı, Faiz Oranı, NARDL, Asimetrik Etki

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