Türkiye’de Bölgesel Enflasyon Yakınsaması: Panel Birim Kök Testlerinden Kanıtlar

Year 2019, Volume: 5 Issue: 2, 301 - 323, 24.10.2019

Murat Belke , İbrahim Al

https://doi.org/10.20979/ueyd.601832

Cited By: 5

Abstract

Parasal birlikte yer
alan ülkelerde veya bir ülkedeki bölgeler arasında enflasyonun yakınsaması,
uygulanan iktisat politikalasının başarısını etkiler. Bu çalışmanın amacı, 2004:M1-2019:M6
döneminde Türkiye’nin 26 alt bölgesi arasında enflasyon yakınsaması olup
olmadığını araştırmaktır. Çalışmada, yatay kesit bağımlılığını dikkate alan
ikinci nesil panel birim kök testlerinin yanı sıra, yapısal değişimleri de
dikkate alan Panel KPSS ve Fourier Panel KPSS testleri kullanılmıştır. Bulgular,
hem enflasyon hem de enflasyondan sapma serisi için yakınsama sürecinin bölgeye
göre farklılaştığını göstermektedir. Bu sonuç, bölgesel farklılıkları dikkate alan
iktisat politikası uygulanması gerekliliğini ortaya koymaktadır.

Keywords

Enflasyon Yakınsaması, Para Politikası, Panel Birim Kök Testleri

References

• Abuaf, N. ve Jorion, P. (1990). Purchasing Power Parity in the Long Run. Journal of Finance, 45(1), 157-174.
• Akdi, Y. ve Şahin, A. (2007). Enflasyon Yakınsaması: Türkiye Örneği. Finans Politik ve Ekonomik Yorumlar, 44(514), 69-74.
• Anoruo, E. ve Murthy, V. N. R. (2014). Testing Nonlinear Inflation Convergence for the Central African Economic and Monetary Community. International Journal of Economics and Financial Issues, 4(1), 1-7.
• Arestis, P., Chortareas, G., Magkonis, G. ve Moschos, D. (2014). Inflation Targeting and Inflation Convergence: International Evidence. Journal of International Financial Markets, Institutions and Money, 31, 285-295.
• Bai, J. ve Ng, S. (2004). A PANIC Attack on Unit Roots and Cointegration. Econometrica, 72(4), 1127-1177.
• Bai, J. ve Ng, S. (2010). Panel Unit Root Tests with Cross-Section Dependence: A Further Investigation. Econometric Theory, 26(4), 1088-1114.
• Barro, R. J. ve Sala-I-Martin, X. (1992). Convergence. Journal of Political Economy, 100(2), 235-251.
• Beck, G. W. ve Weber, A. A. (2005). Inflation Rate Dispersion and Convergence in Monetary and Economic Unions: Lessons fort the ECB. Centre for Financial Studies, 2005/31, 1-42.
• Becker, R., Enders, W. ve Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381-409.
• Bernard, A. B. ve Durlauf, S. N. (1996). Interpreting Tests of the Convergence Hypothesis. Journal of Econometrics, 71(1-2), 161-173.
• Breitung, J. (2000). The Local Power of Some Unit Root Tests for Panel Data, in Advances in Econometrics, Vol. 15: Nonstationarity Panels, and Dynamic Panels, Baltagi, B.H. (ed.), 161-177, JAI Press, Amsterdam.
• Breusch, T.S. ve Pagan, A.R. (1980). The Lagrange Multiplier Test and Its Application to Model Specifications in Econometrics. Review of Economic Studies, 47, 239-253.
• Brož, V. ve Kočenda, E. (2018). Dynamics and Factors of Inflation Convergence in the European Union. Journal of International Money and Finance, 86, 93-111.
• Busetti, F., Forni, L., Harvey, A. ve Venditti, F. (2006). Inflation Convergence and Divergence within the European Monetary Union. European Central Bank Working Paper Series, 574, 1-36.
• Carcel, H., Gil-Alana, L. A. ve Madigu, G. (2015). Inflation Convergence in the East African Community: A Fractional Integration and Cointegration Study. Global Economy Journal, 15(4), 507-524.
• Carrion-i-Silvestre, J.L., Barrio-Castro, T. ve Lopez-Bazo, E. (2005). Breaking the Panels: An Application to the GDP per capita. The Econometrics Journal, 8(2), 159-175.
• Cecchetti, S. G., Nelson, C. M. ve Sonora, R. J. (2002). Price Index Convergence among United States Cities. International Economic Review, 43(4), 1081-1099.
• Choi, I. (1993). Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Process with Some Applications. Econometric Theory, 9(2), 263-282.
• Cuestas, J. C., Gil-Alana, L. A. ve Taylor, K. (2012). Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro. Sheffield Economic Research Paper Series, 2012005, 1-33.
• Durlauf, S. N. ve Quah, D. T. (1999). The New Empirics of Economic Growth. Handbook of Macroeconomics, Elsevier Science, 1(A), 235-308.
• Das, S. ve Bhattacharya, K. (2008). Price Convergence across Regions in India. Empirical Economics, 34, 299-313.
• Dayanandan, A. ve Ralhan, M. (2005). Price Index Convergence among Provinces and Cities across Canada: 1978-2001. University of Victoria Department of Economics Econometrics Working Paper, 0504, 1-15.
• Dridi, J. ve Nguyen, A. D. M. (2017). Inflation Convergence in East African Countries. MPRA Munich Personal RePEc Archive, 80393, 1-31.
• Duran, H. E. (2016). Inflation Differentials across Regions in Turkey. South East European Journal of Economics and Business, 11(1), 7-17.
• Enders, W. ve Lee, J. (2012). The Flexible Fourier Form and Dickey-Fuller Type Unit Root Tests. Economics Letters, 117(1), 196-199.
• Gozgor, G. (2013). Unemployment Persistence and Inflation Convergence: Evidence from Regions of Turkey. Regional and Sectorial Economic Studies, 13(1), 55-64.
• Hadri, K. (2000). Testing for Stationarity in Heterogeneous Panel Data. The Econometrics Journal, 3(2), 148-161.
• Hadri, K. Ve Kurozumi, E. (2011). A Locally Optimal Test for No Unit Root in Cross-sectionally Dependent Panel Data. Hitotsubashi Journal of Economics, 52(2), 165-184.
• Hadri, K. Ve Kurozumi, E. (2012). A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor. Economics Letter, 115, 31-34.
• Harvey, A. C. ve Bates, D. (2003). Multivariate Unit Root Tests and Testing for Convergence. University of Cambridge DAE Working Papers, 0301, 1-46.
• Hepsag, A. (2017). Inflation Convergence among the Next Eleven Economies: Evidence from Asymmetric Nonlinear Unit Root Test. Theoretical and Applied Economics, 4(613), 43-52.
• Holmes, M. J. (1998). Inflation Convergence in the ERM: Evidence for Manufacturing and Services. International Economic Journal, 12(3), 1-16.
• Hyvonen, M. (2004). Inflation Convergence across Countries. Reserve Bank of Australia Economic Research Department Research Discussion Paper, 2004-04, 1-24.
• Im, K.S., Pesaran, M.H. ve Shin, Y. (2003). Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115(1), 53-74.
• Islam, N. (2003). What Have We Learnt from the Convergence Debate?. Journal of Economic Surveys, 17(3), 309-343.
• Karanasos, M., Koutroumpis, P., Karavias, Y. Kartsaklas, A. ve Arakelian, V. (2016). Inflation Convergence in the EMU. Journal of Empirical Finance, 39(B), 241-253.
• Kishor, N. K. ve Ssozi, J. (2010). Inflation Convergence and Currency Unions: The Case of the East African Community. Indian Growth and Development Review, 3(1), 36-52.
• Kočenda, E. ve Papell, D.H. (1997). Inflation Convergence within the European Union: A Panel Data Analysis. International Journal of Finance Economics, 2(3), 189-198.
• Lee, C., Wu, J. ve Yang, L. (2016). A Simple Panel Unit-Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure. Oxford Bulletin of Economics and Statistics, 78(3), 365-393.
• Lee, J. ve Strazicich, M. (2003). Minumum Lagrange Multiplier Unit Root Test with Two Structural Breaks. The Review of Economics and Statistics, 85(4), 1082-1089.
• Levin, A., Lin, C.F. ve Chu, C.S.J. (2002). Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties. Journal of Econometrics, 108(1), 1-24.
• Lopez, C. ve Papell, D. H. (2011). Convergence of Euro Area Inflation Rates. Journal of International Money and Finance, 31(6), 1440-1458.
• Montuegna-Gomez, V. M. (2002). Did the EMS Encourage Inflation Convergence?. International Advances in Economic Research, 8(2), 119-127.
• Nazlioglu, S. Ve Karul, C. (2017). A Panel Stationary Test with Gradual Shifts: Re-investigate the International Commodity Price Shocks. Economic Modelling, 61, 181-192.
• Perron, P. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. Econometrica, 57(6), 1361-1401.
• Pesaran, M.H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels, CESifo Working Paper Series, No. 1229.
• Pesaran, M.H. (2007). A Simple Unit Root Test in the Presence of Cross-Section Dependence. Journal of Applied Econometrics, 22(2), 265-312.
• Pesaran, M.H., Smith, L.V. ve Yamagata, T. (2013). Panel Unit-Root Tests in the Presence of a Multifactor Error Structure. Journal of Econometrics, 175(2), 94-115.
• Pesaran, M.H., Ullah, A. ve Yamagata, T. (2008). A Bias-Adjusted LM Test of Error Cross-section Independence. Econometrics Journal, 11, 105-127.
• Siklos, P. L. (2010). Meeting Maastricht: Nominal Convergence of the New Member States toward EMU. Economic Modelling, 27(2), 507-515.
• Sul, D., Phillips, P.C.B. ve Choi, C. (2005). Prewhitening Bias in HAC Estimation. Oxford Bulletin of Economics and Statistics, 67(4), 517-546.
• Toda, H.Y. ve Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Process. Journal of Econometrics, 66(1-2), 225-250.
• Tunay, K. B. ve Silpagar, A. M. (2008). Türkiye’de Bölgesel Enflasyon Yakınsamasının Analizi. Öneri, 8(29), 177-186.
• Weber, A. A. (2004). European Inflation Dynamics and Inflation Convergence. Open Macro Models and Policy in the Development of the European Economy European University Institute Conference, 15 October 2004, Florence, 1-23.
• Westbrook, J. R. (1998). Monetary Integration, Inflation Convergence and Output Shocks in the European Monetary System. Economic Inquiry, 36(1), 138-144.
• Yazgan, M. E. ve Yılmazkuday, H. (2014). High versus Low Inflation: Implications for Price-Level Convergence. Koç University-TUSIAD Economic Research Forum Working Paper Series, 1412, 1-27.
• Yeşilyurt, F. (2014). Bölgesel Enflasyon Yakınsaması: Türkiye Örneği. Ege Akademik Bakış, 14(2), 305-314.
• Zivot, E. Ve Andrews, D.W.K. (1992). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit Root Hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270.